How do I create a folder inside the library Adobe Captivate

You can right-click on the background of the Library panel where the folders are and chose "New Folder..."  You can drag folders into other folders as well, to make subfolders.

I am not sure to understand your question correctly.

Are you talking about the project library (internal) or do you use external libraries? Have a look at:

http://blog.lilybiri.com/internal-and-external-libraries

All libraries already have a folder structure, each type of object/item has a folder: audio, video, bitmap images, shared actions, SVGs. Within those folder you can create subfolders, using the right-click menu. Something like this:

For bitmap images, if you use roundtripping with Photoshop (warmly recommended), you'll have each Photoshop file as an individual folder, with its include layers or comps. Another link:

http://blog.lilybiri.com/roundtripping-with-adobe-photoshop-in-2020