There are two system generated Folders in your account: Uncategorized and All. As the name suggests, the All folder shows all Campaigns no matter which Folder they belong to, and the Uncategorized folder is the default Folder if a Campaign has not been assigned to a folder. When you create a new Campaign, the Campaign will be assigned to the Uncategorized Folder by default.
To add a folder, click the All Folder and then the +Add button. To add a subfolder click on the main folder and then click +Add. You can't add additional folders within subfolders. Any Folder that has a grey arrow next to it signifies an existing subfolder.
Deleting a folder in the Campaigns Tab will delete all subfolders, Campaigns and Tactics within that folder. Because the Tactics have been deleted they will no longer run; however, any emails, landing pages, forms and/or segments used in those deleted tactics will still be available. If a subfolder is deleted, the same rules apply for everything that exists in the subfolder. If a Campaign is deleted, the same rules apply for any Tactic in the Campaign.