I think you can do this via Calibre. But as far as I know, collections are more like a tag on a book; a book can be in more than one collection, so there's not a physical location as such. I think in Calbre you can designate which collection the book is going to be in before you send it to your Kindle; apparently setting the "tag" before you copy it. One of our Calibre power users may be able to tell you more.
Betsy
Betsy