Yes. You get mailboxes named In, Out, Drafts, Sent, and Trash by default. To add more, select Mailbox -> New Mailbox... and fill in a name for your new mailbox, e.g., "Spam products I ordered."
You can also create multiple levels of mailboxes in a hierarchy. Suppose you wanted a mailbox named Hobbies containing submailboxes named Origami and Yoga. You have two choices, depending on whether you want to be able to store mail (a) in the Hobbies mailbox too or (b) only in the submailboxes.
In case (a), create three folders, with these names: Hobbies, then Hobbies/Origami, then Hobbies/Yoga. You really do type the slashes, as I've shown, when you type the mailbox name. This will make three mailboxes, with two of them inside the other.
In case (b), create two folders, with these names: Hobbies/Origami, then Hobbies/Yoga. This will make a top-level folder named Hobbies, but it won't itself be a mailbox.