1. "Click on Tools" -> "Filters"
2. Click on "Add"
3. Enter "Penguin Colony" at list rule name
4. In the top box, you'll see two drop-down menus. The first one should default to "Sender". Change it to "Recepient".
5. Enter "email@example.com" into the field next to "contains".
(or clug-tech or clug-announce, depending on list)
6. In the bottom box, click on "click here to select a folder".
7. Enter a folder name, such as "CLUG". You might have to store this in Local Folders if you're using IMAP.
8. Click on OK.
9. Your mailing list will now be set up.
Evolution is a great e-mail client. It has some ways to make it easier for you to setup filters as well. For example, if you've already received email from a list, you can right-click on the message and select "Create rule from message -> Create rule for mailing list".
The best way to learn is by poking around and see what rules work best for you- everyone has their own preferences.