Folding hands while praying seems to be rather a Christian idea. Jews don’t do this at all and the reason is, as far as I know, of kabbalistic nature.
According to the medieval Kabbalist Rabbi Yitzchak Luria (and maybe even earlier rabbinic sources) each finger represents one of the ten Sefirot. And these Sefirot have to remain in a certain order. However, by folding our hands and sticking the fingers into each other, the order of the Sefirot is getting mixed up. It could be that this causes a negative effect on a person.