Ah ok, i see what your trying to do, you can't make subfolders in the inbox in mail. That's not how it works which is why you can't drag folders to it.

You should see an 'On my mac' folder on the left. That's where your folders should go. If you want to make a new mailbox, go to the mailbox menu at the top and select 'New Mailbox'. You should see from that how the folder system works.

Hope this helps!

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