Search folders are virtual folders that perform a search on selected criteria once you open the folder, allowing you to collect your items from multiple Inboxes or selected folders just by using the right keyword or criteria.

The Search folders can be seen in the Smart folders section. If you don't see Smart folders on the top of your Folder list you can enable them in Menu>Tools>Settings>General>General (Show smart folders).

Once you have Smart folders shown, you can right-click any of the folders and select Display > Search folders. Right click the search folders option and create a new search folder.

You can also create a Search folder using the Search function in the top right - open the drop-down menu and select the 'Create Search Folder' option.