You can create a folder on your desktop by right clicking on it and choosing NEW/FOLDER.
E-mail folders and Desktop folders are different. The former is a section of the e-mail data file, and it is just your e-mail client software that makes it look like a folder to you. The Desktop folder is a directory that has been created on your C: drive (most likely) and in which you can create further directories (or folders) in, in turn.
I suspect it isn't so easy to just move all from one into another, but there are some experts here who may be able to give further advice.