Are you using a PC?
In Windows with the Clip set to MSC mode, the Clip+ simply shows up as two drives in Windows Explorer : one driveletter is Sansa Clip and the next, for the microSD slot, is Removable Disc. You can put a folder right into the driveletter, or you can put Music in a Music folder and Audiobooks into an Audiobooks folder, etc.
If you’re using a Mac, maybe some kind of Manage Folders thing comes up–I wouldn’t know.
However, you probably need to have music files that Clip can play in your folders. Those would be .mp3, .wma or .flac files.
If you send over the .m4a files from iTunes–not readable on the Clip or Clip±- or text files or whatever, I don’t think the folders holding them will appear. Copy a folder full of mp3s over onto the Clip and it should show up under Folders.
Also, tags are not such a bad thing. If files are properly tagged they give you more ways to find the music. Search this forum for mp3tag and ISO-8859-1 for instructions on tagging.