how can I create a new mail folder? How do I create a new folder in my mail.

I've have gone through every menu option I can see and don't see it.
Mail uses the word "mailbox" instead of folder.

In the left sidebar, right-click (or Control-click if on a laptop) and select "New Mailbox" from the contextual menu. You will be prompted with a message similar to: "Enter name for new mailbox to be created inside “[parent folder name]” in account “[account name]”.