There are numerous ways of doing this and it really depends if you are on a Network or with a Stand Alone unit.
If you have a Domain running Exchange you can do this through the Exchange options.
If however you have a stand alone computer and you need to send incoming mail to different folders probably the easiest way is to create some Message Rules where the sender gets used to recognise any incoming e-mail and it then gets diverted to a different folder That would be something along the lines of If E-Mail from X arrives it gets sent to folder 3.
As I don't know exactly what it is that you want to do here it's a bit harder to answer any more than that but it is very simple with Message Rules to both Manage and setup as required.
Col