If you right-click on a folder in Windows Explorer, and then erase it, it will erase the folder as well. Garrett or Sami will have to let us know if it wipes the actual clusters that the folder itself occupied (a folder is really just a file with a special attribute set - at least in FAT/FAT32... i cant recall for NTFS offhand... anyone want to refresh my memory?).
If you want to delete just the files, select the first file listed, and then shift+click on the last file. Then right-click on the group, and erase them. Only the selected files will be erased, and the folder itself will remain intact.
Furthermore, the eraser command-line app has an option to keep the existing folder, but given that you are new, stick with the gui for now.