Zotero's file system can be found in the left-hand pane of the interface. Much as you would use the file system of your computer's hard drive, you can create folders, place them in a hierarchy, and add research materials, or items, at the appropriate organizational level. The highest level is called a library and has an icon that looks like a brown file box. Each account has one user library but can include multiple group libraries. Within libraries, you can create collections, which use the manila folder icon. You can even create subcollections that use the same icon.
Click the manila folder icon with the green plus sign to create a new collection.
Right-click a library to create a new collection or right-click a collection to create a new subcollection.