If you are talking about creating your own photo album in addition to the default camera roll, you can do that in iTunes. Click on your device and go to the pictures tab and you can create your own photo album folder(s) there.
hi...
i am facing the same problem..
and i can't seem to find a picture tab at my device...
there is a photo tab which only allows me to sync and not create album...
using iphone 4 ver 4.0...
please help and thanks in advance!