I need to add some subfolders to an MU subsite. How do I do

I need to add some subfolders to an MU subsite. How do I do that? I have looked through the folder tree in FTP (under the main site), but I can't find the individual sites. Do I need to set up FTP for the subsite, or should I set up a new site as mainsite/subsite/newfolder? Or something else?