"Solution Folders are an organizational tool in Solution Explorer; corresponding Windows folders are not created. Microsoft recommends that you organize your projects on disk in the same way that you organize them in the solution. But that is your call :) "
Since I discovered solution folders a few months ago I have been using them intensively.
One of the ways I use them however would conflict with the above advice (and I am therefore happy it is just advice, not enforced).
Before I explain, let my emphasize that it is very well possible (and useful, IMHO) that a project can be placed in multiple solutions - right-click on a solution or solution folder and choose "Add|Existing project".
I tend to have multiple solutions (all in the same directory) that wrap different subsets of the projects - one big solution wrapping all projects, and then some smaller solutions that only wrap a subset of related projects from that "master solution".
The point here is: the way I structure those projects in solution folders tends to be different in different solutions. For instance in a solution whose main purpose is to develop some utility library, that utility library would be at the root, outside any solution folders (and some test related projects for that library would be in the same solution but in a 'tests' solution folder). In contrast, another solution that *uses* that same library would also contain that library project (but not the tests), but in a solution folder named 'libraries'. And the "master solution" would contain that same library project, but in a solution folder named after that library.
If solution folder names were tied to physical disk folders this would not be possible.