I'd tell you but then I'd have to kill you. In effect, you have to manipulate the folders of pictures on your PC, putting photos into separate folders, and then sync to the folder that holds those folders. What I suspect you're doing is maintaining a single folder on your PC, syncing to it, and therefore wiping out the photos you already downloaded.
There are more detailed instructions on various threads on this site. However, you may want to wait a week, or so to see what iOS 5 functionality does for you. There are supposedly better picture management tools in the new OS release that may simplify the process.