Ok Red. It took a while, but I made you a step to step guide on how to create Private Message Folders. Here you go:
First, click "Messages" on the top of this page:
Now click "Manage Folders" on the bottom of the page.
Now type whatever you want your folder to be called in the white bar and then click "Add New".
Now the name of your folder will appear on the left hand side of your screen. Click "Inbox"
Select the message you wish to add to your folder.
Now click "Move" on the right hand side of your screen.
Select the folder you wish to move the message to. Then click "move".
And there you have it! You have just created a new folder!
If you have any questions, just let me know and I will be more then happy to help you out.