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.
You don't have a Classes, Structs, and Enums folder. Why have a Delegates folder?

Also, if you're using C# 3.0, you generally should be using Generic Delegates - System.Action and System.Func - instead of named delegates.