Although it looks similar, a Search Folder is different from a folder.
A Search Folder combines the power of searching with the convenience of a folder. Perhaps you file your messages according to the projects they're associated with, but you'd also like to view them according to who sent them. You could, of course, use the Instant Search box at the top of the Outlook window to find those messages. But if you notice that you're searching for the same things over and over, learning how to set up a Search Folder could save you some time.
You've come to the right place to do that.