I have WLM and mine is set up with e mail addresses on the left-hand side and under each address I have In-box, Drafts, Sent, Junk e-mail and Deleted Items. (These are set folders by MS WLM.) Then there is a general Folder beneath that lot called Storage Folders. Under here I have all the sub-folders that cover a variety of topics like Amazon, General et al. I think if you are trying to import Folders, they should go in to the same names on the new position.
If all else fails try the WLM Help page from the ? on the top right hand side of the main page.