Any folder... but you may want to keep them organized by having one folder (for example "Music") for music. (And can also have subfolders for different genres or artists... your imagination is the limit.)

Also you can create "Video" for videos, etc. It really is up to you what you want to do.

AFAIK: the Metalayer-crawler demon running in the N810 will find your new media files and create entires to the built in Media Player automatically.