I'm a little confused by your question: there is no "My Pictures" on a Mac.
Assuming you meant "the Pictures folder in my Home folder," there are at least two ways of doing this: here's method A.
1. Resize iPhoto so that you can see both it and the Finder window of the Pictures folder on your screen.
2. Select the photos in the album and drag them into the Pictures folder. This make a copy of the pictures.
3. It also doesn't put them into a folder for you -- yet. Now select the pictures you just added to the Pictures folder as a group, then right-click and choose "Make folder from selection." Retitle the folder the name of the album.
Alternative method B:
1. Create an empty folder on the desktop.
2. Open iPhoto, select the pics, drag them into the folder.
3. Move the folder to your Pictures folder.
and here's alternative method C:
The free
iPhoto to Disk can do this for you. Despite the name, it can also export albums to folders.