You can create folders if your using the Exchange set-up, and I would guess an IMAP set up as well.
Open your email app, go to the view where you can see your inboxes and all email accounts below that.
Tap on the email account you want to add to.
Tap Edit at the top, down the bottom a button will appear called New Mailbox. This really means add a new folder. Type in the folder name and tap Save.
The new folder will now appear in the folder list.