Did you try this?
Set up from the handheld
To set folder redirection on the device, the BlackBerry device software must be version 4.0 or higher.
1. From the Home screen, go to Messages.
2. Click the trackwheel and select Options > Email Settings.
3. Click the trackwheel and select Folder Redirection.
4. In the Folder Redirection menu, expand the Mailbox by highlighting it, clicking trackwheel and selecting Expand.
5. Under the Mailbox, expand the Inbox by highlighting it, clicking the trackwheel and selecting Expand.
6. Highlight the folder on which you want to enable redirection. Click the trackwheel and select Change Option.
Note: If you are unable to select Expand for any of the folders, or if the Change Option menu option is unavailable, try turning Wireless Reconcile on the handheld off and then on again. You can find Wireless Reconcile in Messages > Options > Email Reconciliation.
7. Click the trackwheel and select Save to save your changes.