When you run the Cleanup, you have a choice to clean up a Conversation, clean up Folder or Clean up Folder & Subfolders.

Once you run this all of your emails will be grouped into conversations based on the subject of the mail

When clicking on Clean up Conversation, you will be prompted with the following.

We suggest reviewing and adjusting the settings before you run the clean up, click settings from the prompt

Or go to File, Options, Mail to view Conversation Clean up settings. Adjust the settings to your liking and click on browse to choose what folder you would like the email to be sent too.

For this example, we created a folder called Conversation Test.

Click on Clean up Conversation

When the Cleanup is done, view the emails within the folder you have choosen to direct them to, if the clean found no email related to each other you will get a prompt indicating so.