Typically, you need to make sure to check the box "Save copy in..." on the message composition screen. If a folder name is not specified, it means that a folder for sent messages has not been selected for your identity.

To select a folder for sent messages, go to Options - Personal Information - Edit your Identities. Choose the identity you would like to modify (if you only have one, choose Default Identity). Then, select the folder where you would like to save sent messages from the appropriate pull down list.