Go to LW's library. If you want to create folders within your saved folder - click on Saved Files & then click Explore (bottom left of the screen)... your saved folder should open.
Once that folder's open, right click in a blank part (ie not on a file) > new > folder.
Rename that new folder to whatever you want (eg Rock, Blues, Trance, Hip hop etc...).
Now copy/cut & paste the songs that you want into the various folders that you've just made. Restart LW.
If you have a saved folder that you're not sharing, once you've done this - your new sub folders will appear in your saved folder when you open it. And when you go back to LW's library, your sub folders will show up in your Saved Files
If you want to add sub folders for genre within your shared folder, go to LW's library. Expand Shared Files by clicking on the little arrow beside it. Now highlight Shared & then click Explore... your shared folder should open.
Once that folder's open, right click in a blank part (ie not on a file) > new > folder.
Rename that new folder to whatever you want (eg Rock, Blues, Trance, Hip hop etc...).
Now copy/cut & paste the songs that you want into the various folders that you've just made. Restart LW.
Once you've done this, your new sub folders will show up in LW's library when you click on Shared... they'll show in the Shared menu & also in the library list.