If you have already made new folders but cant find them first try hiting the bb button and uncheck show all. It should show all folders you have hidden. If that fnds them put you're cursor over it (or highlight) the folder hit the bb button again and uncheck hide. That should bring it back then you can move it whereever you want. If you simply cant find them they may be in you're app or download folder.
Open up you're options in your email folder by opening your email box and clicking the bb button scroll to options then go to general options and scroll down to SMS and EMAIL Inboxes make sure it is set to seperate. That should well seperate them. See if that works