I am unable to setup folder redirection, the option does not exist.
If you are unable to see the Folder Redirection option you need to enable the "Wireless Reconcile" option.
Basically the "folder redirection" option disappears when the "wireless reconciliation" option is unticked - turn it on and the Folder Redirection appears.
Within your messages click the blackberry button > Options
Email Reconciliation > Make sure the "Wireless Reconcile" option is ticked.
Then Folder redirection can be setup as follows:
Within messages click the blackberry button > Options > email preferences
Then press the Blackberry button again > Select Folder Redirection