Filters and labels go together like peanut butter and jelly. Filters function in a similar fashion with labels as folders with Groupwise. The only difference, in addition to Gmail's search capabilities, is the emails are not moved anywhere. The emails themselves always reside in all mail which is important to keep in mind because filters (search) are never perfect. Your email does not reside in the label you designate in a filter, it is simply a label you give a group of emails.
Creating filters in gmail can help you organize email and utilize labels better. For example you can search (filter) by subject, keyword, to field etc. and label them to a particular label, delete them automatically (spam), or mark as read.
Here is what it looks like in action.