Add new folders with unique titles to store or reorganize your messages. Note that the Received, Sent, Deleted, Draft, and Scheduled folders will be provided by default.
Select the Messages tool from the Tool Menu in your site.
Click New Folder.
Enter a title into the Folder Title field.
The new folder will appear at the bottom of your list of message folders.
Note: See How do I move a message? for information about moving messages into the new folder.