You can sort your items into different folders by clicking the yellow folder with the green + button in the top left-hand corner. This is handy for putting items relating to the same project or topic together. When you add an item to a collection it also makes a copy of it in the main Zotero library (they are unsorted in the main library).
All references are automatically deposited in "My Library" (your main Zotero Library).
To remove a reference from My Library: If you remove a reference from My Library it will be deleted from all the other folders/collections.
To remove a reference from a particular folder (the citation will still be in your main Zotero Library)