Mail.app creates the "Junk" folder all by itself - you don't have to do anything.
When you first start using junk filtering though, you should keep it in "training" mode for a while - correcting it when it misses something that is junk, and also when it mis-labels something as junk. Once you're comfortable that it's getting most everything right, you can take it out of training (though if/when you spot an error, you should still correct it, as Mail keeps learning...)