When you view messages in a Search Folder, you can perform some actions on them right there. You can move them or copy them to a conventional folder, or you can delete them. And, of course, you can read them (or simply mark them as read). You can do all of these things from a Search Folder just as you would from a conventional folder (by dragging or right-clicking the message). However, you can't drag messages into a Search Folder; the only way a message can appear in a Search Folder is if it meets the criteria that you set up for the folder.
Wondering what happens to the messages in a Search Folder when you delete the folder? Take a look at the picture. Because a Search Folder is a virtual folder—simply a container in which Outlook displays messages—deleting the container has no effect on the messages.