To my knowledge, you don't do that in Nero.
If you're creating an MP3 data disc, you have to do it in Explorer. Create your directories and sort your MP3 files whatever way you want, then drag all of it into Nero for burning. Outside of a PC, though, some players might have problems with extremely long path names, too many nested directories, or odd characters in a filename or directory name. Best to keep it all simple.
If you're creating an audio disc, you can't (normally) use folders. (You can create an audio+data disc, but your audio tracks might not leave much room on the disc for much else.)