You say you are using the GBBM linksheet theme. For folder backdrops, you need to create the jpegs, rename them to the exact name as the folder (directory) without any extension, and then place it in the root of the theme directory, the same way you do for your movie/TV linksheets.
For example, based on your folder structure, you would make a jpeg called “Action” (no extension and case does matter), and do as above. The theme does have a template for genres, but if you want to make ones that are more personalized to your style, you can also manually make backdrops with a graphics editor. They should be 1280 x 720 jpegs.
For more questions on this stuff you should probably move over to GBBM theme thread.