On my 9810 you can only create files in the "All" section. But it works out OK, I find now I use these files more than "Favourites", in fact you can make a file called favourites. I was frustrated at first by the apparent lack of catagories but now find it simple and well organised!
There was another thread called something like - what's on your favorites panel - and a lot of folks were saying (me included), that I use my "all" panel (and ditch all the other ones), placing my favorite apps at the top and create folders towards the bottom to keep organized and on one page.