Creating folders in pm's and moving emails to those folders

I feel really dorky asking this, but I've created some folders in my pm's and want to move certain pm's to those folders; however, when I check the emails, and select to move the pm's, that folder is not listed as a place to move it to. Basically only delete is the option.

Does anyone know how to do this or if that function doesn't work?

After selecting the PMs you want to move, make sure the drop-down box at the bottom right side of your PM list has Move To selected and then click the Go button. It will then let you pick which folder to move them to.

Oh thank you so much, vic! It worked!