The thread title says "folders", which isn't exactly clear (to me, at least). Anyway, if by "albums" you mean photo albums, where were they created, if you don't mind me asking? Did you upload them via iTunes? Just trying to get as much background info as possible in order to help.
"Folders" and "Albums" mean very different things to most people, and your original post gave zero indication that you were referring to photo albums.
I don't believe you can delete photo albums on the phone that are synced down to the phone from iTunes from the interface on the phone. You can go to iTunes and select which albums to sync by changing the option to just sync selected albums.