GMail doesn't use folders. Instead it uses 'labels':
http://blogoscoped.com/gmail-faq.html#how_can_ i_create_a_new_folder
Searching for your mail is (unsurprisingly) achieved by using the search button:
http://mail.google.com/mail/help/intro.html
Of course, if you access GMail via Windows Mail (rather than via the web), you can still set up folders in the conventional way:
http://email.about.com/od/windowsmailtips/qt/e t_get_gmail.htm
If you'd rather have a more conventional email system, which is free, advert-free, accessible via both Windows Mail (or any other email client, such as Outlook Express) as well as available through web access, use Gawab. See paragraph, et seq, of my post here for details of how to set up an account:
http://www.theanswerbank.co.uk/Technology/Inte rnet/Question407429.html
Chris