Best answer as chosen by user jebull9: Yes you can
It's different though depending on which version of Windows you're using, and I'm afraid you neglected to mention that. In Windows 7, you click the Folders tab, then click Message Rules. Once you get into Message Rules, it works the same way it did in Outlook Express (XP) or Windows Mail (Vista). To create the folders, you right-click the account name or whatever folder you want to make subfolders for, then click New Folder.