From the help file in outlook
Create a folder
1. On the File menu, point to New, and then click Folder.
2.In the Name box, enter a name for the folder.
3.In the Folder contains box, click the type of folder you want to create.
4.In the Select where to place the folder list, click the location for the folder.
Once you have created the folder you will need to create rule for the e-mails you wish to go into this folder.