Go into Accounts, long-press on Folders and select Create subfolder. However, I don't recommend doing this except for POP3 email accounts.
If you're using IMAP service it's much better to create folders and filters at the server side, using your email service webmail interface. Since POP3 mail service does not do sync, it's unable to do this and it must be done by the mail client. But with IMAP dealng with folders, filtering and sorting at the server means new folders showup on all your computers and devices accessing the account and all mail is pre-filtered and sorted.
Also, if you set up folders and filters on the phone, mail has to be delivered to the phone, filtered and sorted, re-synced back to the server and then synced to other computers and devices that access the account. It's a lot of extra sending and syncing which increases data usage, slows things down and increases chances of errors. For theses reasons you don't see folder creation or filtering on many mobile email clients. In fact, Maildroid is the only one I'm aware of. I'm just guessing, but the author is a smart guy and I imagine he had POP3 accounts in mind when he added this feature.
