You will need to export each folder individually and create folders in Mendeley that replicate the folder name in RefWorks. For best results, do not exceed 500 references at a time. Here is Elsevier's guide for the migration (make sure to use the instructions for "ProQuest RefWorks"--the second set of instructions).
The instructions below are adapted from both Elsevier and University of Texas - Arlington's guides.
Login to your Mendeley account using your credentials.
Create a Collection (In Mendeley, folders in your library are called Collections)
Import references from New RefWorks