Deeply nested folders don't make for very efficient email management, in part because it's so easy to forget where a folder is, especially if you use a complicated filing scheme.

Common questions from people with deep folder trees are:

If you forget where a folder is, can you search for it?
No, you can only search for contents of the folder.

Advanced find will show me the folder name, can I get the folder path too?
No, Outlook doesn't give the folder path in the Advanced find dialog.
The only time most users will see the path is in the Address field of the Web toolbar, when the folder is selected.

However, if you use Exchange server and have access to your mailbox using OWA, you can use Search and see the folder path in the browser's status bar, assuming it's not too long. Right click on the opened message and look at its properties to get the full path.