Partitions turn one physical hard drive in to two or more logical drives. It is not done using "folders" or the like; partitions can be created for operating systems other than Windows.
Create partitions on a drive before installing any software, including the OS. If using Windows, the initial boot up of the Windows CD allows you to create partitions on the drive which will hold the OS itself.
For non-OS drives, just use Windows Disk Management to format and create partitions.
Creating partitions on an existing system can be done several ways.
1) If you want a new partition on a non-OS drive, back it up, format and partition it, and restore your data.
2) If you want a new partition on your OS drive, image it with some sort of disk imaging/cloning software, format and partition the drive and restore the image.
3) On an existing system, you can run software like Partition Magic which is a software solution. To me, this solution is silly unneeded overhead and an invitation to disaster, but some folks like it.
Good luck