Greetings Zep,
Don't know if your still looking for answers.
1. The easiest way to make a new folder is to use a file manager like Astro, Super Manager or any of the others. Use the file manager to make a folder where ever you want to.
2. In the settings of MPLW...
a. Choose settings
b. Choose from common or individual settings...depending on your particular setup.
c. Choose picture source.
d. Choose a single pic, an album or picture folder.
e. Select folder path
f. Navigate to the folder of your choice.
g. Press OK.
h. Profit??
That's it
Hope this helps.