It's pretty simple!
The two most basic folders are Inbox and Outbox.
Inbox is a folder that stores all dialogs where the last message is a lady's message.
- There are several sorting options in this folder, and there's also a useful Read but unanswered option in case you read the lady's letter but forgot to reply to her.
Outbox is a folder that stores all dialogs in which the last message is your message.
If you see a •red circle while the letter is in Outbox, it means the lady has not read it yet.
As soon as the lady responds to you — the whole dialog will immediately appear in the Inbox folder.