Tools>Message Filters is the menu option on Windows.

I thank you, and saw that, but on a new message that I want to add to filters, how do I do that?

I'm not sure what you mean. If you want to filter messages, you set up the filter first that will apply to future messages. Maybe a description of your intent will help. Thanks.

In previous versions of Thunderbird, if I got a new message in Inbox, and I wanted it to move to another folder, the message itself offered the option to set a filter. This is no longer available, and makes things more difficult. Why did it change? I appreciate you!

It's under the Message menu (see picture). Press Alt if the Menu Bar with Message is hidden.

Sfhowes' tip opened the needed window. What I 'think' you're remembering is having a message filter already set. Then, when a message comes it that fits the criteria, this option you mention is offered. Does that help? I rarely use filters, so I am no guru in this topic.