Generally, WARNING messages like this happen because you are using a custom style template (a template you have written or modified yourself) with the STYLE= option.
Depending on how you wrote the style template and the procedures that you're using and the ODS HTML invocation code, the style element "indexfolder" was expected by ODS and not found.
You might wish to open a track with Tech Support on this problem, as they will have to look at the style template code and at your invocation code to help you resolve the issue.
The resolution could be as simple as putting an ODS PATH or PARENT= statement in your code, or as complex as rewriting the style template to contain the style element that's missing. Also complicating the answer is what version of SAS you're using because style template syntax changed between SAS 9.1.3 and SAS 9.2 -- and the syntax solution for 9.2 will not work in SAS 9.1.3 and vice versa.