I just went looking. I have the new Firefox but usually use IE8.

So for Firefox this seems to be the procedure.
You open the bookmarks tab and click Organize Bookmarks.
Then you have to click on an existing folder, click organize folders again and now it will let you create a new folder.and fill it up.

Them when you bookmark a new page you can use the options on the pop-up to direct it to that folder too.

They also included a way to add keywords to your bookmarks so you can just type the keyword and it will bring up those bookmarks with it attached