Our service currently isn't build to recognise folders. So if you have a lot of files and want to send them in one batch, you have to select all of them without folders, and that can be a hassle. But, there's a work around!
To send a folder with multiple files in it, create a .zip file from the folder before uploading it. This way you'll be able to upload folders, or sets of folder, and save the structure of the files inside them. It will also allow you to preserve the name of the folders, because you get to name the .zip file.
On a Mac, creating a .zip file is done by right-clicking the folder that needs zipping and choosing "compress ...here's your folders name".
For Windows, the process depends on which operating system you're using, but here's what Google thinks.