You can only delete folders you hsve created. You will not be able to delete Inbox/Draft/Sent/Bulk/Trash.
Assuming it is a self created one this is how you do it - look for very small print.
Just to the right of the Folders sign you will see
Add-Edit. Click on Edit this will take you to a new page where all the folders are listed.
Any self created ones will have Rename - Delete
just after the title. Delet the Folders you want to.
I think I remember your name from another posting - really on the same type of topic. I don't think you can download sent messages I've never been able to do so. What I did was send the message to myself & then drag it into the Sent folder in OE.
Hope this helps.
Your Yahoo WebMail will still be available - it can be very useful!