First display the mailbox where the message is now by double-clicking its name in the mailbox panel window. A list of all messages in the mailbox 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 mailbox. The message will be moved to that mailbox.
By default, all messages you receive go into your In mailbox. 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.
Make sure your mailboxes and folders are displayed in the mailbox panel window (see this topic). Then right-click on the name of the mailbox or folder you want to delete. Click "Delete" on the menu that appears. You may receive a warning message - click on "Remove It" to go ahead with the deletion. The mailbox will disappear from the display (and from your computer).