When you select a message and choose Move everything dims except the folders on the left side where you choose the folder to move to. I don't see an option to create a new folder but there is one if you log into your account through the browser. It's a bit ridiculous to have to do that but hopefully MS will stream line these things soon. It's like Skydrive, you can't share anything through the app you have to log in online to get the extra options.