Usually into the Archive folder in the same account. That is the default. except for gmail. then it is the all mail folder, as that is gmails archive folder.

Matt, That's what I can't find, the archive folder.

If you have not already, turn on the folder pane menu bar. Right click a blank spot on the toolbar (Get messages in on that bar) select folder pane menu bar from the menu. Click the menu at the top of the folder pane and make sure ALL Folders is selected.