For the Mail App you have to log into your account on line and create the folders and then they'll show up in the mail app.
For Outlook, at least for 2013, you just right click the parent container and choose New Folder. So if you wanted to create a folder called SAVED you right click on "Outlook" in the navigation pane and choose new folder and if you wanted to create a new folder within your new SAVED folder you just right click on SAVED, choose new folder give it a name and that's pretty much it.