To create folders in GMail select the checkbox next to an email that you wish to move into a folder. At the top click on the image that looks like a folder and select "Create New". Put in the name of the folder and click on the "Create" button and the folder is now created, with the email that you selected in it.
To move emails into the folders that you have created you have three options:
Option 1: Drag the email into the folder when you are looking at your list of emails.
Option 2: Select the checkboxes of the emails that you would like to move and at the top of the window select the image of the folder and select the folder that you wish to move the email(s) into.
Option 3: While reading the email at the top of the window select the image of the folder and select the folder that you wish to move the email(s) into.