How can I group my stored procedure under folders in Sql server management studio 2008, Can I group and move related stored procedure to it.This should maintain the structure during database backup also.
SQL Server/SSMS does not have this functionality. However, you can use SQL Server Data Tools (ideally with source control integration) to organize database objects to your liking independently of the physical database deployment(s).
Short answer: you can't.
You can upvote the microsoft connect suggestion for that, even though it is closed as "won't fix".
There are paid SSMS addins that will do that, though not exactly how you describe it:
If you are looking for a way to find database objects quickly, some free alternatives would be: