Perform the following steps:
Select the message that you want to copy, then choose Actions -> Copy to Folder.
Use the tree in the Copy message(s) to dialog to select the folder to which you want to copy 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.
Click OK.
Alternatively, you can copy the message, then paste the message to another folder, as follows:
Select the message to copy.
Choose Edit -> Copy.
Select the folder to which to copy the message.
Choose Edit -> Paste.