Explanation: This menu defines the folder on the memory card in which new images are stored and allows to create, rename and delete folders:
The menu is self explanatory and shows help how to enter characters, look for the hints at the bottom of the screen.
The only thing you cannot see there: When entering a folder name you can delete a character by placing the cursor on it with the command dial and then press the delete button.
Recommendation: You can get along well without this menu. A presorting of many images is better done on the computer.