Go to the Windows Orb (Start), type favorites and press Enter to open the Favorites folder. You can now create new folders, consolidate existing folders and move links around.
If you want a naming/sequencing structure, I suggest you rename your top level folders with a two digit prefix (01-99) followed by a space. I have "01 Finance..", "02 Forums..." through to "27 Art sites". Within each of them, I have sub-folders which I only prefix with a number if there are more than 10 of them. I try to keep the names short otherwise a wider pane is needed to display them. As new ones are added, just right-click, then "sort by name" which puts them in the right sequence.