Question: I am trying to determine the best directory structure of my application

i have:

UI  

Data  

Interfaces 

but i dont know where to put delegates..

should there be a seperate Delegates folder or should i store the delegates in the same classes where they are being used . .

Answer: 
If you have an common use for your delegates, you should store them on a common place, but if you only use it in your class then put it in the same class.
I think that's a bad idea. You should sort your code the same way Microsoft does, by functionality. 

As for delegates, you don't need them any more. Now that we have the generic Func and Action delegates, there is no reason to create your own.