Welcome to the forums!
This topic has been discussed at length before, so I'll give you the short version...
- BES messages aren't capable of having their own separate mailbox. They'll only show up in the "Messages" catch-all folder. Sorry.
- HOWEVER, you can create a custom search/filter within your BB, which you can then access with an ALT-WHATEVER key combination, to filter ONLY your BES messages, essentially achieving what you desire.
Hope that helps. For more specific instructions on how to accomplish this, you might try searching our archives.