Click on a link and hold down the mouse button. Then move your mouse pointer to its new location and let up on the button. The item stays in its new location. Click on 'Favorites'. Click on 'Organize favorites'.
Folders are yellow.
To create a folder, use the small 'sparkly' folder button. Make sure you are in the menu into which you want the folder to be inserted. To move an item into a folder, highlight it by clicking on it. Then click on the 'Move' button. Click the folder you want to move the item into.