Create a Messages folder
From EdTech Help
Folders can be created within the Messages tool to aid in organization.
Contents
Go to Messages
Select the Messages tool from the Tool Menu in your site.
Go to New Folder
Select the New Folder button.
Enter a folder title
Enter a title into the Folder Title field.
Click Add
View the new folder in your list of message folders
The new folder will appear at the bottom of your list of message folders.