1. Download Astro File Manager from the market.
2. Press add button or long press on the screen.
3. Create your folder.
4. repeat step 2.
5. select create shortcut.
6. Select Astro and find the video file you want.
7. Long press on the video, drag it over the folder, and drop it in.
8. Enjoy your new folder.
PS Folder Organizer app in the market is great if you don't like the stock folder look.