In short, Windows Mail does not have the ability to do such automatically; it requires that you, the user, create a rule that automatically redirect mail to a specific folder based on sender, keyword, et cetera. Look through the rules created in both Windows Mail and your email provider's website and remove those you do not want.
I have Windows mail and it used to work fine. Lately when a new message is received it is put in a folder with other email messages from the same sender. I do not like this because all other messages are listed in descending order and if I get a message from someone that there is already a folder for it is put in that folder which means I might not see it if it is not right at the top of the window. Hope someone can help. Thanks.