The library displays all of the folders that you are currently sharing in addition to your folder of incomplete files that is not shared.

If your downloaded files are not showing up in your library, are you sure that you are sharing the directory where you are saving your files? Your save and shared directories are listed under Tools>>Options in the "Sharing" tab.

You can create subfolders of shared folders by right-clicking (if not on the Mac) on the folder you wish to create a subdirectory for and going to the "New Folder" option. This will create a new folder as a subdirectory of the currently selected folder. You can also choose File>>New Library Folder (or something like that) from the file menu. This will also create a new subdirectory of the currently selected folder (note that you have to have a folder selected for this to work, however).

You can create as many directories as you like, and you can drag and drop your files between those directories.