Hey Eric,
Yeah in the browser section on the left you can put where the favorites are you can right click and add a new folder. You can just put whatever name you need to I add favourites and I use it for a song title chorus for a song title ending so whatever. sorry I'm not in front of my reaper right now but just check that out over the left hand side after the left hand corner right click and you can add folders.
Or if you created a midi file say in your reaper you can just press ctrl alt drag it back into your ez keys and then save it as a favourite in whatever folder you like.
Hope that helps.
Cheers, Jeff
P.S when it's in the favorite section you can right click again and rename the MIDI file anything you need to.