Is this a picture you took with the phone's camera?
Are you sure it isn't already on the sd card? With a file explorer (either pre-installed or downloaded from the market), open to view the sd card contents. You should have a DCIM folder on the sd card and the photos would be stored under folders within that folder.
You can also use the file explorer to move files around the sd card without connecting it to a computer.
For Android, by default, all Pictures, Videos and Music files are saved to the SD Card and not your internal device memory. There is not an option to create Subfolders in the Gallery application, the photos get saved to the existing Sub folders in Gallery.
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You can use a file explorer to create additional folders for organizing the files. If those are pictures folders, the gallery will rescan the sd card when the app is opened and will load the new folders if they contain picture files.