To add files into a folder you first need to create a new folder under the Files tab in the Channel.
Once you have created the folder all you have to do is enter the folder by clicking the name.
When you are in the folder simply add a file by clicking the Add New File button or dragging an existing file from Your Files.
Click Send to add them into the folder.
If the files you wish to add to the folder already exist in the Channel you will see them under the Files tab. From here you can simply drag and drop the files into the folder.
See how to remove files from a folder here.
Full video tutorial on using folders: