You can create subfolders in IMP from the folders menu. You can the set up filters to move into folders automatically, based on things like who it was from, or sent to, or particular words in the subject or body
Unfortunatley they cannot contain other folders...
If you need to be able to create subcontainer to put other folders in like
work/project1
work/project2
personal/joe
personal/jane
You can do it like this
I just realised that you can create folders from Horde Imp that will have subfolders by naming them like mickey/finn this will create a filesystem folder and place a mailfolder inside it so you can move your e-mail to mickey/finn ... etc