Messages are moved from your mailbox to Archive Folders automatically.
So how does Archive work? Well, it's automatic, for one thing. With Archive, messages are moved automatically from your mailbox to a folder called Archive Folders. We've shown a bit more detail in the picture.

To start the process, you'll click
Yes.

Messages are moved from your mailbox…

…to the
Archive Folders folder.
Subfolders in your mailbox are automatically created in the Archive Folders folder.