First Question: Those are solution folders, which are just a way of logically separating the different parts of the solution (layers, etc.). You can only have physical folders inside a project (the ones that aren't dotted-lined): Visual Studio Solutions Folder as real Folders
Second: A shared folder could be used for classes that don't neatly fit inside either the BLL or the DAL. I can't think of a reason off the top of my head for one, but I've seen examples where shared classes are created in RIA services for Silverlight.
Bonus: The tests folder is for holding your Unit Tests. Look up Unit Testing for ideas. It is very useful to write Unit Tests for your code to provide a first line of bug-fighting whenever you create (do my tests run successfully on my new code?) or modify (do my tests still run successfully on my existing code after this change I just made). NUnit is a popular open-source Unit Test framework, and MS provides its own Test Project Unit Test framework built into Visual Studio.