Name the new folder:
To move newsgroups into the folder - select newsgroup(s) in question and drag them into desired folder.
Folders behave alsmost as usual newsgroups - getting new headers, cancelling getting new headers, resetting, posting etc. To operate on a folder - use its context menu. Here we want to open a folder and get new headers:
Now the folder window is open and all headers are directed to the folders window as well as to the newsgroups that constitute the folder as we can see in the task manager window. The lights on folder icons indicate what is going on like lights for newsgroup icons (green - getting new headers, red - error and done, dark-green - cancelling getting new headers):
You can also create a virtual newsgroup from arbitrary newsgroups with the same capabilities - select newsgroups in question and use the 'join newsgroups' entry in the context menu: