I use email folders to keep my email organized. This article explains how to add and use folders within your email accounts on your iPhone or iPod Touch.
I use email folders for everything. I have personal folders, work folders, tech-recipes folders, shopping folders, and a ton of other stuff. Folders help to keep my inbox happy and clean. It’s only logical to do the same with your iPhone email accounts.
Most people use POP to access mail from the email server. To use email folders and to keep them in sync, you will have to switch to IMAP instead.
Unfortuantely I cannot give you detailed directions for your specific email service. (Gmail’s directions are here, for example.) You will have to find your server’s IMAP address in the documenation. Most email servers have IMAP access.
I will suggest that you leave any existing POP accounts until the IMAP is working perfectly. Most web services (and the iPhone) will allow you to use both.
Once you have your IMAP server information, you can create the new IMAP account on your iPhone just like any other email account:
Settings -> Mail -> New Account
You will not actually be able to create the folders directly on your iPhone. You will have to create them in your mail client or through your webmail. The folders created here will then appear and sync correctly.
If you have IMAP setup correctly and you are still not seeing your folders, you may need to set your IMAP path prefix. This will be found in your IMAP server documentation. You set this on the mobile device through the following menus:
Settings > Mail > Account > Advanced > IMAP Path Prefix