The status bar shows information about the current folder. The appearance of the Folder List depends upon your Pine configuration. All other folders will be listed in alphabetical order. Folders are simply files where messages are kept.
Every message has to be in a folder.
You may create as many other folders as you wish. They must be given names that can be filenames on the filesystem. Folders are just files in the filesystem. If you want copies of your messages in text files that you can edit or otherwise manipulate, use the export command to export them from Pine. Those of you with simple mail configurations will just see a list of all the folders you have.