To create sub-folders in your Messages folder:

1. Right-click the Lists menu item
2. Click Create
3. Enter the name of the sub-folder you are creating. Hit Enter
4. Note: Any folder changes will be visible to all users

Alternatively, if you see a plus sign next to your lists folder, you can use that to create new sub-folders:

1. Click the plus icon next to "Lists" in the left menu
2. Select Create
3. Enter the name of the sub-folder you would like to add, then click OK
4. Note: To delete the folder, click the plus icon and select Delete

Move Messages into the New Folders

You can now begin moving messages into the new sub-folder. From the Message Center:

1. Either double-click on the Message you want to move, or highlight the list and click Edit Message
2. In the popup window, click Select Folder, highlight the new sub-folder, and click OK