It's different though depending on which version of Windows you're using, and I'm afraid you neglected to mention that. In Windows 7, you click the Folders tab, then click Message Rules. Once you get into Message Rules, it works the same way it did in Outlook Express (XP) or Windows Mail (Vista). To create the folders, you right-click the account name or whatever folder you want to make subfolders for, then click New Folder.
Is there a way to filter messages into folders when the mail is retrieved? If there is, I haven't found it. If anyone knows how to do this, I would appreciate the help.