There are several ways to create a new rule.
On the toolbar are two buttons that will allow you to create a filing rule with a minimum of fuss. If you click File:, the Folder Find window is shown for you to select a folder in which to file the selected message. Once you have done this, two rules are created based on the email address of the message sender (one for incoming messages, one for outgoing). The rules simply move any messages to or from this sender to the specified folder.
Quick Add window
This window allows you to create a rule quickly, but with more options than using one of the file buttons.
From either Manage Rules window, you can add a rule using an Outlook style wizard. This allows you to create a rule with any of the options supported by Rules Manager (including Autoreply, forward, delete).