You cant put folders in the actual apps menu (the big one that lists all of your apps) but you can put them on one (or more) or your homescreens and fill them with apps.
go to your homescreen of choice, "click" the customise button on the bottom right (the one with a pain easel symbol), and choose the folder option to make one (just go with "New folder" unless for some mad reason the templates are actually relevant to what you want to put in said folder.
You can rename the folder once you have created it by holding a "click" on the namebar once you have opened the folder (the bit where it says new folder at the top)
Once you have a folder you can add apps by either going through the custom button option (i.e. add app) or you can find the app in the main apps menu and "hold click" untill it jumps to the homescreen where you can drag it into the folder.
Hope that helps anyway mate, I have all my apps organised into folders on one of my homescreens, I find its much better than rooting through the full aps list for something specific.