Group, folders, and sub-folders are different places for you to store and organize images.
Sub-folders live under Folders. Folders live under Groups.
 

Expand and Collapse
You can expand and collapse these areas by clicking on the (-) / (+) highlighted below:

Adding New groups, folders, and sub-folders
Groups and folders can be added by clicking on the "Add Group/Folder" Icon:

To add a sub-folder, right click on the folder that you would like to add this sub-folder under, and click on "Add a sub folder"