Outlook 2010, Outlook 2007, Entourage, Webmail
Click on the Options Tab. Click on the Save Sent Items To button and choose Other Folder. Select the folder from the list of folders and click OK.

While composing an e-mail (new, reply, or forward) select the Options icon. In the Message Options dialog box, select the Browse button within the Delivery Options area.
Locate and highlight the desired folder from the list in the Select Folder dialog box, then select OK to return to the Message Options dialog box. The selected folder should appear in the text box adjacent to the Save sent message to checkbox. Select Close and send the message.
(Entourage 2008)
While composing an e-mail (new, reply, or forward) select Message>After Sending, Move To>Choose Folder.
Locate and highlight the desired folder from the list in the Choose Folder dialog box, then select Choose. When the message is sent a copy will be stored in the selected folder instead of Sent Items.
Items may not be moved to a specified folder in web mail, they are automatically saved in the “Sent Items” folder.