I have three e-mail accounts on my Blackberry: One BES (Lotus Notes, through work), and two BIS (School / .edu and Hotmail).
In the BES folder, I can select "file" from the menu and file an e-mail into any existing folders.
In the BIS folders I don't see "file" in the menu. Additionally, when I go to "view folder" I only see my Lotus Notes folders, not the ones I have set up in Hotmail and on the .edu.