No, you can't set a junk folder - it should just be there, in the same data file with the Inbox. The only possible exception is if you
disabled the junk mail features except I thought the last time i tested it, that the junk folder was still created.
Possible solutions that worked for others:
close outlook and restart using the /resetfolders switch In the Start Search field or Run command, type or paste the following line and press enter:
outlook.exe /resetfolders
Run scanpst on the data file.
If the junk folder was moved into another folder, resetfolders should fix it, if not you will need to make a new pst file. To see if it was moved, switch to the folder list (Ctrl+6) and expand all the folders that have the little triangles. (Press Ctrl+1 to go back to the mail pane or click the Mail icon at the bottom of the navigation pane.)