NJBlackBerry is right.
Excluding third party tools, you have two options really. There is not an easy solution. I wish there were.
a) As discussed, get your BES Admin to make a regedit to the server. This will create a "BES Only" messages folder. However, it will be applied to ALL users on the BES server, so your admin might not want to do this How to create a separate icon on the BlackBerry smartphone for BlackBerry Enterprise Server messages only
b) For one user only, the only option (without 3rd party tools) is to create the search that hides non-enterprise messages as per View Document
It's not a solution, more a workaround.
As far as I know, this is as good as it gets in BES 4.1.x