Nu e nevoie sa-l creezi explicit, el exista deja.. Trebuie doar sa-l declari, apoi sa-l deschizi si sa verifici daca ai mesaje in el

De ex. :
Folder folder = store.getFolder("INBOX");
// Open read-only
folder.open(Folder.READ_WRITE);

BufferedReader reader = new BufferedReader (
new InputStreamReader(System.in));

// Get directory
Message message[] = folder.getMessages();
if (message.length==0)
jLabel9.setText("No new messages ! ");
else if(message.length >0)
{ jLabel9.setText("You have new messages ");

mesaj=new String[message.length];
for (int i=0; i mesaj[i]=i+1 + " :"+ message[i].getFrom()[0]+" "+message[i].getSubject()
+" " +message[i].getSentDate();
message[i].setFlag(Flags.Flag.DELETED,true);
}
jList1.setListData(mesaj);
folder.close(true);
store.close();

Aici am folosit o lista in care sunt afisate noile mesaje cu detalii, apoi sunt sterse din server si se inchide folderul...

Good Luck