If you want to create the mailbox within a folder then navigate to that folder in the mailbox
pane.
From the "Mailbox" menu select "New mailbox"
Enter a name for the mailbox in the prompt.
There are several options for how you get your messages to the other mailboxes:
You can drag and drop them from the "In" mailbox to the mailbox.
You can right click on the message in the mailbox index and select "Move to Mailbox" and then
select the mailbox you want to move the message to.
You can setup filters to move the messages automatically as they come in.
You can write scripts to evaluate more complex criteria for moving messages. For example, at work
we are assigned projects. Each project has an 8 character code, the first two are alphabetic and the
final 6 are numeric. We have a convention where any email about a project starts with the project
code followed by a colon. I wrote a script that automatically scans all incoming email. If the first
word of the subject corresponds to one of our project codes (after stripping off any "Fwd:" or "Re:"
prefixes) then the script automatically saves the message to the mailbox for that project. If one
doesn't exist it creates one.