When I first started with Pegasus it took some experimenting to really get the idea of identities but it's not complicated if explained properly. What you want can't be achieved through the use of identities, though Pegasus can do it.
Let's start at the beginning. When you install Pegasus you are asked whether you want a single or multi-user environment. This is like having a few office colleagues use Pegasus rather than just yourself. Each person would have a login that presents them with their own mail.
Within each user's Pegasus account, it is possible to have multiple identities. Each identity is essentially nothing more than an alternative set of options that you wish to use in certain situations. This is a similar concept to the multiple signatures that Pegasus allows you to have. One identity may have your nickname and personal e-mail address, along with other options such as plain text only messages and no copy-to-self, whilst a second identity has settings that uses HTML mail, your work e-mail address and permanent copy-to-self.
However, identities are not intended to be a way of separating your mail accounts. Instead (and this is kind of subtle and hard to 'get' at first) identities are for assuming another online persona. In the example above, outgoing mail would appear entirely different depending on the identity chosen prior to writing the message. The same message sent from both would appear to come from either your personal address or your work address.
Incoming mail, no matter which server you collect it from or which identity is selected (and different identities can have entirely separate SMTP and POP servers that they communicate with) will always be delivered into the single set of folders that comprise your Pegasus login account. This is because, logically, it is all your e-mail and they are your folders.
How to achieve what you want? Well, you can set up a filter that sends all mail received through a given e-mail address or server to a particular folder. You can set up an alternative Pegasus login account to keep things entirely separate if you so desire.
I'm sure other forum users will drop more ideas here soon enough but I thought it would be useful to explain the whole identities thing. I hope I did OK.
