I was given data which is arranged in folders as shown in the following picture:

I am using ArcGIS 10.1. I believe feature datasets in ArcGIS only exist in geodatabases. But the datasets are arranged in folders. Can someone tell me the name of the format of the data? I want to use arcpy to merge datasets from every grid-sheet. I can merge .shp, .dbf files. But I do not know how to merge for example 2885/09/HYDRO_AR with 2885/10/HYDRO_AR in the given datasets. Because HYDRO_AR contains many files.
