Check the MobileRead wiki entry at
Kobo Shelves and Collections for some help on using collections (Kobo used to call them shelves hence the name of the wiki entry).
One item to note is that in most cases, you need to copy the books to the Kobo, safely eject and let it import the books, reconnect and send the information. The first pass adds the books to the database, the second pass adds information to the database entries.