It's been well over two years since phones got the ability to combine tiles into a folder with Windows Phone 8.1 Update 1. With the upcoming Creators Update, Windows 10 for PC users will finally be able to do the same.
The feature is already included in build 14997, which leaked on Christmas day. The build contains other new features as well, such as refreshed Settings, theme support, pinned tabs in Edge, blue light reduction, and more.
The feature looks and works exactly like it does on Windows phones. Simply drag a tile on top of another, and a folder is created.
Of course, unless you're willing to take the risk that comes with installing a leaked build, you won't see one until next week, as Dona Sarkar said that the Insider team won't be coming back until then due to the holidays. If you really need to get your hands on folders in the Start menu, you can do it with 14997, but something tells us that you'll be alright.