At the bottom of your Mailbox window the middle button creates a new folder.
Folders can contain a number of mailboxes.
To move mailboxes into or out of Folders just drag the mailbox within the Mailbox window. To show or hide the contents of a folder, click the triangle beside the Folder. If you want to be super-organised, you can create folders within folders. Recently a member of this mailing list suggested I stop putting an issue number and date in the Subject line, and instead include the title for the tip. This was so it would be easier to refer back to tips to find information.