You uploading files via FTP? If so in the FTP program you right click and NEW then Create New Folder an type the name of the folder. That's the only place to create folders. Your html editor only does that, edit html pages.
Here's some samples of what I've done.
http://www.adultpicworld.com/gals/hh...v/rindex7.html GALLERY URL
http://www.adultpicworld.com/gals/hh/lola-myluv/ FOLDER
http://www.adultpicworld.com/gals/hh/ ANOTHER FOLDER