Do you mean like folders in the Gallery? Well, you can't. Atleast not in the gallery app (Yay stock android). If you want you can create folders and move the pictures there manually.
Heres it more indepth, just in case. Get a file manager (Quick office / Astro / ES / a few other great (popular) ones.) Maybe you want to keep it all in the same place one general picture folder. Than inside that create say "holiday" "family" ect. Now go to where your pictures usually are (Thats DCIM, right?) and hold down to select one and just tap to select more than one. Then do the common cut and pastey to the desired folder.