To begin, open FrontPage. In the pane, you'll usually see a button for Folders. Click once on that and you should see a list of the files and folders in the web which is currently open.
Of course your list likely will look different from the above image. If you would prefer to start with a clean folder, you can do so by selecting FILE | NEW | WEB and this will create a new web folder.
Next, you'll need to create a new folder for your weblet.
You then could create some subfolders for the modules that you plan to create.
You can name these something better than I am using here. My generic name choices are for generality purposes only.