This is a guide written by IcedDragon for the .EN forums.
Introduction from the Author:
First thing to note is that this is a premium feature, and part of the administrator. Meaning you need to get some gold and unlock the administrator before you can do any part of what I am about to explain to you.
Now that you have unlocked him, we can get started. First thing that you will note as different is that you now have a new tab in the messages screen, labeled "Manage folder". This is where we start, so please click on that.
If you haven't played with this before, you will notice that this will be a mostly blank screen, except for the create folder option on the right. This is where you enter the name of the folder you would like to make, then click create to do so. Now you will have a new folder available to you.
The common question I find regarding this, is how to access your folders once you have made them. Well, its simple. Go back to your messages and click on the Inbox button at the top of the messages this will open your folders list. You can then click on any of these folders to look at the messages inside.
Now, we should cover how to move messages into these folders.
To do this, go back to your inbox. Mark the check boxes on each message you would like to move, then click on the inbox button again. Now you can drag and drop the selected messages into the folder of your choice.
And that's pretty much it!