All messages go to the main messages folder and that cannot be changed since that is how the BB is designed. To get your BES email separated to its own folder, you would need a 3rd party app, Empower.
You need to make sure that your company allows you to install 3rd party apps and you also ned to know exactly what their IT policy allows.
As for having your personal mail on a BES connected BB, many of us do not recommend it since some email can be read by the company if they so desire.
Here is a link with information complied by one of our Mods that you might find interesting:
What does BES see; what can be tracked/logged? - Port3101.org : Your BES Connection
And also a link form our FAQ:
BES Users FAQ - BlackBerryFAQ