In your Outlook application, right click on the mailbox (in the sidebar on the left, as pictured below) that you wish to create folders in.
So, here I'd right click on kturner@advanceditservices.co.uk and then click on New Folder... in the context menu that pops up.
You'll then be able to name the folder and move it up and down the list by dragging it as you would any other shortcut.
