How you set up folders is really down to personal preference. It is not really any more difficult to test data spread throughout 100 folders than data stored in a single folder.

The first thing you want to do before creating securities is update the symbol database. This can be done in MetaStock or The DownLoader via the Tools-->Update Symbol Database menu option.

Once the update has completed, you can now create your own security files/folders. Click File-->New-->Security and click the Look-Up button.

The symbols are organized via "Type" and "Group". Think of these as categories and sub-categories. If you want to keep the data in as few folders as possible, you could organize the data by exchange. Set the "Type" field to Stocks - Common and the "Group" field to AMEX.

Click Select All and click OK. Set the folder to something appropriate (i.e. C:\MetaStock Data\Stocks AMEX) and set the "First Date" as far back as you want to go (i.e. 1/1/2001). Click OK and choose "Yes" to create the folder.

Repeat these steps for the remaining 2 US Exchanges (NASDAQ, NYSE) making sure to specify a different folder (i.e. C:\MetaStock Data\Stocks NYSE and C:\MetaStock Data\Stocks NASDAQ).

Indices are not categorized too much, so you will probably want to be a bit more selective when selecting the indices you want and putting them in a folder.

Once all your securities/folders are created, you would then click Tools-->Download Prices, select your new folders from the left-hand side and click OK. Ensure "Recollect Commodities" and "Automatic Stock Split" are checked and click OK again to start the download.