For the folder seperator, have you clicked the i button in the action stage? The Object Documentation that is shown says the following: Character to use as the separato r of folders in any action which takes a path, eg. 'Move Mail' or 'Get Mail'; Default is to not use a separator - ie. the whole string is the item name.
For your error, the Mapiex VBO looks for folders below Inbox. So I am presuming you do not have a folder below Inbox called My Mails Folder. Have you put the folder at the top level instead of below Inbox?