How can I create a folder inside of my mailbox?

Hi.

I just set up my email, (Shaw) on my Apple Mail on a Macbook Air....In my shaw email I can create folders inside my inbox...I can have ones for personal, work, misc, family, etc....

How do I do this with Apple? Is it even possible?? There is no, "new folder" option anywhere that I can see....

Does anyone know?? How else do you organize your emails?