If your Kindle displays a "non-registered" status on the settings page in the relevant registration info section, then you will not be able to use the Collections feature in the 2.5 update (see below).
Registration (on the device) is only possible through a a Whispernet connection. However, if you have a US Kindle that was pre-registered prior to it being shipped to a place outside the Whispernet coverage area, in that case you CAN create collections. I'm not sure if this also applies to 2.5.2.
Bottom line: your Kindle needs to be 'registered" on the device (NOT on the Amazon website!)
