Having never used Outlook on a MAC, I may be wrong, but I have always created folders under "Personal Folders" in the "All mail items" section on the left of the screen. Just right click on "Personal Folders" and choose "New". Here, create one named "Received". After doing this, right click on "Received" and create "New" folders under it with names of those who send you mail. Then, use the "move to" icon and choose the folder into which you want to place the email.