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.
Delegates are essentially reference type method containers. In my opinion you should store the delegates in the same classes where they are being used. There is no need to create a separate delegate folder.