This is really a case of read your camera manual. If your camera did not come with a full one, there will be one on a CD. The behavior greatly varies.

Usually cameras use filenames which gives them 4-digit numbering (some use 5 numbers), so you could in theory have 9999 photos in a single folder. However, cameras can break down these images in folders differently. Furthermore, some cameras let you control this using their Setup/Config menus:

• Some DSLRs like the Pentax K-5 aim to keep folders with a set number of images (500 in this case) but they can give you more since they won't break up a bracket.
• Some cameras wont break up bursts, some put them in separate folders.
• Some also have separate folders for images taken in panorama assist mode.
• A few models also break up folders by calendar days and name the folder according to the month and day.
• They can also break things by number of photos shot instead of counting the ones kept. In this case you will have always less than a certain number. Nikon entry-level cameras usually follows this approach with a limit of 499 or 999.
• Finally, some DSLRs, SLDs and a handful of ultra-zoom let folders be created by the user. In this case the folder still contains 3 digit sequence number which increments should the folder itself goes beyond the capacity which the camera likes.

Personally I find this annoying to have to copy from more than one folder but I'm not the one designing these things! What I do is to rename all files sequentially using a small Python script after copying the keepers to my computer.