> The site is HUGE and has several 
> thousand posts/threads so putting all of the files in 1 
> directory makes it difficult to navigate and expand/view 
> in Explorer. Any way to force a new directory to be 
> created and still have all of the links stay in tact 
after 
> a certain file size is reached?
See Set Options / Build / User-defined structure
.. and use the evil advanced variable extraction.

Example: the 17th message of the thread 1234 has the form:
<http://www.example.com/forum/read.php?view=1&threadid=1234&msg=17&s=1>

Use the user-defined structure:
%h%p/%n%[threadid:/threads/:/message::]%[msg::::].%t

With this rule, the above link will be saved as:
<path>/forum/read/threads/1234/message17.html

More info about the %[..] options:

Details: User-defined option N
  '%n' Name of file without file type (ex: image)
  '%N' Name of file, including file type (ex: image.gif)
  '%t' File type (ex: gif)
  '%p' Path [without ending /] (ex: /someimages)
  '%h' Host name (ex: www.someweb.com)
  '%M' URL MD5 (128 bits, 32 ascii bytes)
  '%Q' query string MD5 (128 bits, 32 ascii bytes)
  '%q' small query string MD5 (16 bits, 4 ascii bytes)
     '%s?' Short name version (ex: %sN)
  '%[param]' param variable in query string
  '%[param:before:after:notfound:empty]' advanced variable 
extraction
Details: User-defined option N and advanced variable 
extraction
   %[param:before:after:notfound:empty]
   param : parameter name
   before : string to prepend if the parameter was found
   after : string to append if the parameter was found
   notfound : string replacement if the parameter could not 
be found
   empty : string replacement if the parameter was empty
   all fields, except the first one (the parameter name), 
can be empty