Example:
If I right-click on 'Local Folders' (in the Folders pane) and then click 'New Folder', it will create the new folder at the same level in the directory as 'Inbox' and other first-level local folders. If I try to move a mail to the new folder, that folder will appear alongside folders like Inbox.
However, if I right click on 'Inbox' and then click 'New folder', it will create the new folder inside the Inbox. (i.e. it will be a 'second level' folder). If I try to move an email to the the new folder, it won't appear in the initial list, because that list only shows first level folders. 'Inbox' will now have a '+' sign next to it, to indicate that it contains one or more subfolders.
It seems that you've created some of your new folders as 'first level' and some as 'second level' (e.g. as subfolders contained within first level folders).
To move your folders to the correct level, do this:
In the folders pane, click on a folder which has got '+' next to it. That will show any subfolders. To move a folder to the top level, simply click on it and (while holding the mouse key down) drag the folder on top of 'Local folders'.
Chris