Folders in a database can not be created. An interface with folder icons can be. It is called a Hierarchical Menu
What you describe to me as a "folder" sounds to me like something that can be set up with a parent record where the records you want to enclose in the "folder" would be a set of related records.
There are also ways to use a sub summary layout part such that each row in your list view is actually a group of records. A mouse click can then re-sort the records to cause all records to show or a popover inside the sub summary part could open to list the records that make up the sub summary's group in a portal.