From the Home screen (press the Home button if you're in an application) touch and hold an icon until all the icons start vibrating. From here:
You can move the icons around or on to another page (if one doesn't exist it will be created).
If you move one icon on top of another it will create a folder.  If you move all the icons out of a folder it will delete it.
If you tap circle with the X in the upper left corner of the icon, then you will prompted if to want to delete the installed application.
 When you're done arranging the icons press the Home button.