I assume that you're using Internet Explorer. (Most of the 'regulars', here in AB's Technology section prefer Firefox).
In 'Organize Favorites', click on a link you want to put into a folder. (I'm assuming that you've already created the relevant folder). This will highlight the link. Click 'Move to Folder'. Click on the name of the required folder. Click 'OK'.
In future, when you go to Favorites and place the cursor over a particular folder, a sub-menu will appear alongside the folder, displaying all of the links inside it.
Chris