To create a new box, simply click the 'Add New Box' link in the lower left corner of your window. Enter a Box Name, the optional Box Display Name & click 'Create'.

Boxes are also automatically created on arrival of an email, you don't have to create any box manually.

Simply send an email to a new box you like to have and the new box will be shown in the Pending section.  Approve the new pending box and you can read the emails in the new box in the Approved section.