Why can't I add a subfolder in a F# project?

In most .NET project I can use folder to organise the code files. In C++, I can't, but filters end up playing the same role. However, in F# with Visual Studio 2010, I can't. Every code file is shown directly in the project dir. Why is this feature not available?

And what is the optimal strategy for organizing a project with a lot of files?