If, and only if, you have an Exchange account, you can do this:
When in the Mail app, on the left side, at the bottom - press on one of your Exchange accounts. Then, press the gray "Edit" button at the top of that left side. Then, at the bottom, you'll see yet another gray button titled "New Mailbox." Pressing that will bring up an "Edit Mailbox" window, where you can name a new mailbox and determine in which Exchange account you wish to place that folder/mailbox.
Again, this will not work with a POP account, only with Exchange mail accounts (or the Gmail account that's not an Exchange account).
Hope this helps. Let us know how you get on.
Marilyn