Instructions
Press the power button on the front of your PS3 to turn on the device, and then log into your account.
Press the left and right arrows on your controller to navigate to the Games menu.
Use the up and down arrows to scroll to a game that you wish to put into a directory.
Press the "Triangle" button to open the menu for that game.
Scroll to "Information," and then press "X" to select it.
Navigate to the Album setting, and then enter your desired name for your game directory. If no directories currently exist, one is created based upon the name you enter. After the directory has been created, it can be accessed by selecting that directory from the Games menu.