Well, hook up your windows phone to your PC, let your videos sync to your PC's library. Once you've done that, go to "videos" under the "collection" section (not under phone) and right click on the video you want to edit, select "edit", then a screen will come up titled "edit video info" with a couple of fields that let you change the video's info those are: "category, title, release date, genre and description" change the value of "category" to organize your videos. Hope this helped.
Edit: oh and dont forget to resync your phone of course, to make sure the labels and organization you made shows up on your phone.