Canon EOS 80D - Manual (Page 182)

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You can freely create and select the folder where the captured images
are to be saved.
This operation is optional since a folder will be created automatically for
saving captured images.
1
Select [Select folder].
 Under the [51] tab, select [Select
folder], then press <0>.
2
Select [Create folder].
3
Select [OK].
 A new folder with the folder number
increased by one is created.
3
Creating and Selecting a Folder
Creating a Folder