Copy the photos you want on the phone to a folder on your computer.
Then connect your iPhone, click on it in the iTunes left panel, then click on the Photo tab in the right panel.
Select the folder you have chosen for photos and sync the phone.
All of the photos in that folder wil be copied to the Photo app (not the Camera Roll) on the iPhone.
You can create "albums" by creating subfolders on your PC. Each subfolder will be a separate album on the iPhone in the Photo app after syncing.