It all depends if your email account supports POP or IMAP
POP will generally only give you Inbox, Sent, Drafts and Trash as it doesnt support full syncing with your server for extra folders
IMAP/Exchange servers will provide a deeper connection to your email and allow every folder set up on your computer to appear on the phone, it also will allow you to then create folders which will appear on your computer/server.
Good examples of POP email accounts are:
Shaw, Hotmail, Telusplanet etc..
IMAP:
Gmail, Exchange, Telus.net (new), yahoo