The old way
You create an elaborate filing system of folders and subfolders, then decide where to file a single message.
The Gmail way
Instead of folders, Gmail uses labels to give you the functionality of folders, but with more flexibility. In Gmail, a single conversation can have several labels, so you're not forced to choose one particular folder for each message you receive. That way, if a conversation covers more than one topic, you can retrieve it with any of the labels that you've applied to it. And, of course, you can always search for it.