Adding a folder
when you go into the sitemap area in the dashboard. click on the home and add external link you would give a title (will apear on the menu) and the URL "http://www.mysite.com/subsite" make sure the "http://" is in the begining of the line. Depending on your server you may have to add the default page to the end like "http://www.mysite.com/subsite/index.html" or what ever it is named.
If you click the Home page, the link will be on the same level as the rest of your main links. If you click the About link, it will be under that.
For the original post, the folders appear automatically when you make pages under other pages. Say you make a page under the Home page called 'Foo'. It appears by itself. Then you go to the Foo page, click Add Page and make one called 'Bar'. When you go back to the sitemap Foo will now be a folder (and a page at the same time), Bar will be under it.