Ximian Evolution keeps mail, as well as address cards and calendars, in folders. You start out with a few mail folders, such as Inbox, Outbox, and Drafts, but you can create as many as you like. Create new folders by selecting New and then Folder from the File menu. Ximian Evolution will as you for the name and the type of the folder, and will provide you with a folder tree so you can pick where it goes.
When you click OK, your new folder will appear in the folder view. You can then put messages in it by dragging and dropping them, or by using the Move button in the toolbar. If you want to move several messages at once, click on the ones you want to move while holding down the Ctrl key, or use Shift to select a range of messages. If you create a filter with the filter assistant, you can have mail filed automatically.