Synced photos don't show up on iPhone

I am trying to move photos from my computer onto my iPhone. I have opened iTunes, connected my iPhone, selected the phone under the Devices sections, selected the Photos tab, selected the folder I want to sync, clicked apply then sync. The phone goes throught the syncing process after which I click on the Photos app on the phone. The only thing that appears is the Camera Roll under albums.

What am I doing wrong? Is there some global setting on the phone or in iTunes that I need to change? I have made sure to uncheck the hide extensions of known file types box (I am running Windows).

Thank you,