With "Organize" you can manage your own Archive- and Queue-folders. Therefore this command is only visible when you first chose "Window - Open Folders".

New...

Archive
Same as the command in the Folder Menu. Lets you create a new archive folder where you can store postings.

Queue
Same as the command in the Folder Menu. Creates a new Queue folder. Unlike the regular (archive) folder, a queue folder stores only the headers when you transfer articles into it. Then when you read or decode the articles, Xnews gets the articles from the server, just as if you're in a newsgroup.

Delete
Deletes a folder (you will have to confirm). Afterwards, Xnews will ask you, if you want to delete the corresponding .mbx-file (which contains the messages).
If you deleted a folder by mistake but still have the .mbx-file, don't worry. Choose "Organize | New Archive" and name the new folder exactly like the .mbx-file (e.g. "bla" for "bla.mbx"). The new folder will then automatically use the existing .mbx.

Rename
Choose another folder name. The messages in the folder aren't touched, it's really just the folder name.

Change File
Lets you determine the .mbx-file which is linked to the chosen folder name. Or in other words, it links the name of the chosen folder to another content resource.