Also, make sure that your Account Settings have "keep mail on server" checked. If not checked, you will have no crack at it, a second time.
But, also, I have eight active accounts, seven of which were imported from an earlier version of Thunderbird, which had Junk folders, although I was sending all my Junk mail directly to Trash. One account was created with 3.x, and it had the same settings as the other ones, but, since it by-passed the Junk folder, there was none. When I changed my settings to send Junk mail to the accounts' Junk folder, a Junk folder showed up. I will probably change back, but, for now there is Junk folder. By the way, update to 3.1. It is much better. I had uninstalled 3.0.5, reverted to 184.108.40.206. Except for some minor quirks, 3.1 is as good as 220.127.116.11.