Samples are placed in Presets. Basically folders are just a method to organize your work. For instance, you could store all of your 'string' banks in one folder, probably named Strings and all of your 'brass' banks in another folder, etc. You can assign up to 32-samples to a single MIDI note. The preset you are placing your sample into is probably using a filter that is altering the sound of the sample.
Filters do exactly that.
No, the sampler needs to have control of the entire drive with its own proprietary format. At this menu, will be able to choose a drive and a bank that will load upon boot up. A low level format attempts to map out any bad sectors on your hard drive. Go to DISK, choose the drive, browse Folder, Bank, etc. Somewhere in the sequence send a program change messege to channel 16 and assign the second preset that was just created.