Perform the following steps:
Select the message that you want to move, then choose Actions -> Move to Folder.
Use the tree in the Move message(s) to dialog to select the folder to which you want to move the message.
To create a new folder, click on the New button. A Create New Folder dialog is displayed. For more information, see To Create a New Folder.
Alternatively, display the folder pane, then drag the message to the folder in the folder pane.