I have answered my own question, lets hope this helps others on the forum.
How to organise your movies into Albums/Folders
But AVPlayerHD apps from Itunes Store.
This application can create folders!!! fantastic
Open AVPlayerHD on Ipad - click the + sign in bottom right hand corner to create folders - these folders you create show up on the Apps Tab when you connect the Ipad to Itunes.
In Itunes, connect Ipad, select Apps Tab, scroll down and select AVPlayerHD.
Add movie files, they will load to the Ipad.
Open AVPlayer on Ipad, select the movies you want in a folder by ticking the boxes, click bottom centre button - move to folder, select folder and your movies are now in the folder you want