Your phone has several SMS folders. SMS manager operates with each of them. Besides, you are able to create and delete folders.
As you can see in Phone Explorer, there are 7 default folders:
Inbox -all incoming messages are stored there
Outbox folder for all outgoing messages
Archive- folder for archive messages
Sent messages- folder for sent messages
Templates- templates folder
Deleted messages- folder for deleted messages
Drafts- folder for drafts
You can manage folders in Data Panel if you select SMS Manager root folder. It looks as follows:
Here you can create new folder or delete it. Here you can also create new messages.