Macbook Pro Mail program

I have a new macbook pro 10.11.1 and I can't create an archive folder for my emails using the mac mail program. Help

That's correct, because that's not the way you archive email in Mail.

Select the emails you want to archive (I just did this in my own inbox, sorting it by date and then selecting any remaining ones from 2012). Then right-click and select "Archive." At *that point,* an archive mailbox will be created that bears a distinct icon and says either "On My Mac" (if you don't have an iCloud account) or "iCloud" (if you do. While the emails will disappear from the inbox (or whatever other mailbox you have them in) immediately, they will in fact get uploaded to iCloud if you're using that, so give it some time (not long -- 4,000 emails took a couple-three minutes for me).

Heaven knows why I'm saving these emails at all -- the chas_m museum likely to be erected in my honour after my death wouldn't even be interested in most of this ...

I don't want to archive them in iCloud but rather on my computer. However, when I try to create a new mailbox or smart mailbox it doesn't appear under "on my Mac"....I don't know where they went.