No, a mailbox is the same thing as a folder.
Just to be clear, we're talking about accessing your .Mac mail via the stand-alone Mail application here, not the .Mac webmail interface correct?
If you're accessing your .Mac via the Mail application using IMAP (the default option that allows you to access your mail from any computer), moving mail to new mailboxes will not free up space on your account...it just organizes things differently.
If you wish to download all of your mail to a single computer, you can use Mail to access your .Mac mail via POP...that will free up space in your .Mac account as the e-mails are transferred to your computer, but you won't have access to your e-mails from any other computers.