As far as I know (haven't used stock TouchWiz in a long time), you have to have a different launcher if you want to change the style of the folder icons. OR you can download an app that allows you to customize the folder design.
I know on Trebuchet, the launcher I'm using, it allows you to change how folders appear. Can't remember if GO Launcher allows it or not... Sorry. I know Apex Launcher allows it.