Googlemail doesn't use a folder system to organise messages. In its place you apply a label to each message. Labels are attached and created from the tool bar above the messages. The advantage is that you can have more than 1 label per message using Gmail whereas in normal mail programmes you can't have a mail message in more than 1 folder (without duplicating it).
So set up labels like you would folders and then apply them to your messages when you get them. You will then see the labels on the left of the page. Click the label to review