Sebastien is right. I just tested it and the label system functions basically like folders.
First use manage Labels to create one (or more) for use as folder(s). Then assign that label to the message you want to move to that folder (use the dropdown in the right bottom corner of the message or at the overview at the top). Then finally Remove the label "Inbox" from those message that are to be moved, they will then just be visible in the "folder" and no longer in the Inbox.
Hope this helps, otherwise I can elaborate.
EDIT:
It seems not to be possible to move messages from the Outbox to those labels...