When you're in your main PM inbox, viewing the list of your messages, check the box to the right of the messages you'd like to move into the new folder.
Then scroll down to the bottom of the list of messages, where you'll find a drop-down menu. I believe your first option on the list, which is what will be already be selected by default is "Move to folder..." -- click "Go" to the right of the drop-down menu.
Then select the folder you'd like to move them to from the drop-down menu on the next screen.
Let me know if you have any trouble.