There are no folders in the GMail, correct? Yahoo and MSN has it. However, GMail does have the folders option, only thing that we need to use one more check while creating the filter.
When creating the filters to apply the labels, check the Archive(Skip Inbox) option. From next time the mails will directly go to the folders.
Okie, what to do for the existing mails? Simple, select the mails and click on archive. You will find that only the repestive folders(labels)