That's a known bug in AS 5.1.0 https://jira.jboss.org/browse/EMBJOPR-252. That JIRA mentions the workaround. Try that out.
The JIRA is still open, so I don't know if the latest admin console (for later versions of JBoss AS) have a fix.
I faced the same issue. After I created a folder queue manually in the location C:\Software\JBoss\jboss-5.1.0.GA\server\default\deploy I am able to create the queue.