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: 
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.
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.