At the top left of your Zotero library, there is a folder button with a green plus sign. Click this to create a new "collection."
Collections are folders that allow you to organize your references.
A Zotero reference can be in more than one collection at a time. Example: a book on the Civil War could be filed in your "Civil War" collection, your "Georgia History" collection and your "19th Century America" collection without having to make three copies of the reference.