How do I move messages into a mail folder?

First display the folder where the message is now by clicking on its name in the folder list. A list of all messages in that folder will appear on the right side of your screen. Click on the message line for the message you want to move and drag it to the appropriate folder name in the folder list. It will be moved to that folder.

By default, all messages you receive go into your Inbox folder. You can change this so they are automatically routed to different mailboxes as they come in. To do this, set up an email filter - go here to see how.