To add a segment to a folder first click 'Audience' in the main navigation bar then select 'Segments.'
Next, click the edit wheel to the right of each existing segment that you'd like to add to a folder. Select 'add to folder' from the dropdown or create a new folder.
You can also create a new folder by clicking the blue folder button in the upper righthand corner.
Keep in mind that segments work just like any documents you have on your computer. They can only be stored in one folder at a time. However, you can always duplicate your segment and store them in multiple folders.