Folders for different e-mails?

I am a new user so be gentle. Coming from a BB9930, I can sort out my e-mails and put them in folders that I made. ex: Business, Family,etc..

For the life of me, I cannot figure out how to do this on this IPhone 4S. How can I add folders to place my e-mails?

Travis

If you make them in your account online they should sync. I know my GMail did