When you first log in, the OWA displays only the most recently used folders. Click More below the folders list to see all of your folders. 

The first set of most recently used folders will appear as Favorites. The list of all other folders will appear below that, under your name.

A scroll bar will appear next to the folder list, if needed.

If a folder has sub-folders, the parent folder will have a “v” symbol next to it. Click that to see the sub-folders, which turns the “v” into “^”. Click the “^” again to hide the sub-folders.

For more information, visit Microsoft's article on working with message folders in Outlook on the web.