If I understand the question...
Select one of the folders located on the mail server, or a local folder or create a local folder if that's what you want to do here.
From the Mail.app Mailbox menu, select the Use This Folder For... item, and configure Mail.app for what you want to do with the particular folder.
It's also common to need to set the prefix to INBOX with IMAP servers, if that's not already configured. (That's established in the Preferences setting for the particular Account.)