The first thing you will want to familiarize yourself with when creating a "folder" in Mac Mail is that they are known as Mailboxes. They still offer the same functionality in that you can use them to store and organize your email messges, they just have a different name.

In your Mac Mail program, click the plus (+) button in the lower left of your sidebar and choose New Mailbox from the popup menu. Alternatively, you can click on the Mailbox menu and choose New Mailbox from the menu.

In the New Mailbox dialog window choose the email account you want this folder to be created in (Location) and type in your new mailbox name.

Now you can move email messages to your new mailbox and even set up filters to automatically move messages to a mailbox if you like.