To create a folder in iTunes either wait for iOS 5 or create folders on your desktop of your pictures and sync the device. No need to jailbreak. Jailbreaking allows you to customize your device to your liking I.e. themes and tweaks, that apple doesn't approve of.
Im not sure whether my i-tunes work well or not because sometimes it just got a limit access to manage my folder. I heard from my friends that i-tunes will only work well with the apple computer. Is it true because I only used windows OS?