Create a Folder
To create a folder, go to Folders at the top. Select from the Choose Action dropdown Create Folder. A box will appear asking you to name the folder. Type the name and then click OK.
Move Messages
You can always tell which folder you're in, and go to another, by the dropdown menu in the upper right of the screen. To send a message from your Inbox (or wherever the message is) to another folder, put a check beside it and select from dropdown box in the lower right corner (it says Messages to) the destination folder and click Move (or Copy, if you want to do that).
Delete a Folder
Goto Folders and put a check beside the folder you want to delete. From the Choose Action dropdown select Delete Folder(s).