In an earlier question, I've found out that sadly Solution Folders are not real folders inside a directory.
I wonder if there is an AddOn or Macro that adds this functionality? i.e. when I create a Solution Folder, it created a real folder. When I Create a new Item (Right Click => Add => New Item) it automatically moves them into that folder, removing causes it to delete it from disk (after asking) etc.
This is for Visual Studio 2005, although we might upgrade to 2008 in a few months.