In Collections, create new Collection with right clic -> New Collection, then in this new collection, create sub collection with right clic -> New Collection.
DO freeze, I need to kill dopus.exe.
This is a known issue on XP, reported recently here: Creating a Collection within a Collection: no response (not fixed yet).
(BTW, please use "DO11:" rather than "DO11 :" as I'm having to edit all your threads to keep things consistent.)
Sorry for double post 
And I had not seen that you changed my titles each time, sorry