For whatever reason, none of the big three (Sony, Kindle, and Nook) support folders. Sony and Kindle offer collections instead. If you use a program like Calibre, which lets you add tags and series information, you can control where they go. On the Sony, Collections are built based on tags and series. It's a nice concept if your books are organized and tagged properly. I don't know how the Kindle organizes its collections, but imagine it's similar.
There's a nifty matrix, located
here, that shows which 6" readers support folders, as well as other useful comparison information.