jAlbum>Explore>The toolbar>New page>Web location
Web location lets you link to pages published to the web, so you can link to other albums.
The main windows within the application
Menus>View>Organise>Wrap in folder ALT/OPT + CMD/CNTRL + W
JAlbum>Explore>Organise>Wrap in folder
This lets you put objects into a folder.