You will not be able to use the camera to create folders. You can, however, use your computer to create folders on the card.
If your computer has a card reader with an SD slot, use that. All you have to do is find the folder where the pictures are stored and create sub-folders, then you can move the pictures to the folders.
If you don't have a card reader you have 4 choices:
1) Find someone who does and use his/her computer.
2) Purchase an external USB card reader. For example http://www.newegg.com/Product/Product.aspx?Item=N82E16817399055
3) Purchase a USB flash card reader. http://www.newegg.com/Product/Product.aspx?Item=N82E16820717001
*note: the products in #2 and #3 are for example purposes only, just to show you what they actually are. I have no experience with either of the products*
4) If you have a desktop system, install an internal card reader. If you have a laptop it may be possible to install one but since I don't have a laptop I cannot say for sure.