I'm guessing your wanting to do this on an iPhone's Mail app. Currently there is no known way of doing this from the app on the iPhone. The only way you can do this is by connecting to your email account with a desktop programme, Outlook or Mail, or by logging into your web based my, GMail or Yahoo. Once connected by some means other then your iPhone's Mail app you can create folders. They should automatically synchronize to your iPhone's Mail app. I believe this only works if you are using IMAP.