When you're looking at this
http://ryl3.echointernet.net/forum/private.php, click on the boxes towards the right hand side of the PM[s] you want to move.
Then, there's a drop-down list in the blue bar at the bottom of all your PMs. One of the options should be "move to folder." Click that one, and it will ask you which folder you want to move the PM[s] to. :)