Do you mean a New Folder? If so, open Internet Explorer, then your
Favourites, then click on Organise Favourites. You can then ceate New
Folders from there.
Right-click the start menu, choose "explore all users". Move down one notch
to the Programs folder and click on it. Then click file/new/folder and give
it a name. Drag the icons you want into it and drop.
In addition to the info supplied by Will and Rick you might want to look at
this little freeware app AMDeadlink http://www.winsw.com/download/amdeadlink.html It helps to find and remove
links that are dead thus assisting you in pruning out those links that are
obsolete.