I am using IMAP for an AOL e-mail account
Well, that probably explains it. I bet you have checked
Store deleted messages on the server. If so, this is not an IMAP issue, but rather an AOL issue (actually, .Mac is IMAP as well).
AOL doesn't let mail clients create mailboxes at the root level of the account directory, only as subfolders of
Saved, and I'm not sure even that is possible now.
You may find instructions for setting up an AOL account in Mail here:
http://members.aol.com/adamkb/aol/mailfaq/imap/applemail.html
The instructions are for Mail 1.3, but they can be used for Mail 2.x as well, noting that the
Special Mailboxes preference pane is called
Mailbox Behaviors in Mail 2.x.
You may also want to read the more general guide the above article is part of:
Accessing the AOL Mail System using IMAP - An Unofficial Guide
BTW, in the case of
Trash or
Junk, I don't see the point of storing those messages on the server, even if that would work. They take valuable space there for no apparent benefit. I would only store
Sent messages on the server (which cannot be done with AOL either).