How to make Folders in Portable Players

[alphaben]

I have a Portable Multimedia Player. It has multiple functions. It has a 2 megapixel camera, picture viewer, video player, audio player and recording. I wanna know how i can make folder in its folder. Has anyone encountered this? It seems that in the audio player, i can only put music files there and not folders. So, I cannot sort out my music files according to artist/genre.