If you are using a desktop browser and viewing messages in the "classic" format -- not the newer chat-style format -- you can create up to ten folders. If you have less than ten folders, you should see a list of folders and an "add a folder" option. Once you have created ten folders, the option to create a new one goes away.
https://mesg.ebay.com/mesgweb/ViewMessages/0/All
If you are using the newer chat-style message format you will have to switch back to the classic format using the link at the bottom of the message inbox page before you see your folder options.
