Confirm New Folder Dialog Box

  When you move or copy a message to a folder that does
  not exist, Mail creates the folder.  The Confirm New Folder
  dialog box prompts you to confirm creating a new folder.

  Click on Yes to confirm creating the folder and move or copy
  the message.

  Click on No to dismiss the Confirm New Folder dialog box
  and return to the Move/Copy dialog box.

  Click on Cancel if you decide not to create the folder.  The
  move/copy request is also canceled and the dialog boxes are
  dismissed.

  Additional topics:

  *   Overview of Mail