Thanks for the screen, I see what you mean now
Tori is right you create an album first, in fact by using that screen. Give it a Name and optionally a description, ignotre the rest.
The 'icon' button will give a picture for that album, instead of the folder image
As Tori says once you have created an album you can upload multiple images to it (mass upload). Let me know of any further confusions and I (or someone else) can write some decent instructions