You are not the first person to wonder why Gmail, for all its power, lacks the flexibility to let you deal with email the way you want. It's a classic interface problem, actually, revolving around what I've always phrased as "adapt the interface for the user, don't force the user to adapt for the interface".

However, the Gmail team appears to have a different perspective, and, well, it's not like we're paying a lot of money for the service. So. (another feature of Gmail, the discussion threading, causes great stress for people too, as exhaustively chronicled in the comments following this article: how do I disable or turn off message threading in Gmail?)

I have been digging into labels, albeit slowly, and have figured out how you can accomplish what you want, a virtual message folder that accumulates all email that matches a specific pattern or characteristic. Key to realize is that every message you have in Gmail is in your "Archive" (called "All Messages" in some places too).

To make this as easy as possible, start by viewing a message that meets the criteria you want to use for filtering. Then click on Settings on the top right of the Gmail window. You'll see a set of options like this:

Choose the Filters tab, and at the bottom of that window you'll see "Create a new filter". Click on that. Now you get to the most complicated step of the process, the search criteria you want for your new filter:

I'm going to create this filter to automatically archive email from Twitter announcing someone new is following me (aside: you can follow me too. Just go to my Twitter page and click on "Follow"). These messages have a subject like "Glenn Gillen is now following you on Twitter!" so I'll use the pattern match of "is now following you on Twitter".

Very useful tip here is to use the "Test Search" button to ensure that you match the messages you want and skip those you don't want. Once you get things "just so", click on Next Step. Here's what you see:

Notice how I've filled things in here! There are two options I've selected to get the "automatically filtered into folders" action: "Skip the Inbox(Archive it)" and "Apply the label" followed by selecting the relevant label, in this case "Twitter".

That's all there is to the process. Now just finalize and save the filter by clicking on "Create Filter" and all messages that match the specified criterion or criteria will be moved into the "label" folder and the archive, but not appear in your inbox.

Now the only downside with this strategy is that Gmail doesn't make it obvious when you get new messages that fall into a specific label categorization. As you can see below, there's a numeric count indicating how many messages with that label are unread and non-zero results produce bold entries, but, still, you need to pay attention if you want to be on top of the auto-filtered messages without them appearing in your inbox!

I hope that'll help you get more benefit from Gmail!