All about OE guide, and howto's http://www.insideoe.com/sitemap.htm
Messages in Inbox or other mail folders disappear http://www.insideoe.com/problems/bugs.htm#mailgone
Outlook Express User Files http://www.insideoe.com/files/store.htm#storemain
"OE is not a dedicated database program, and can have problems with very large files, making them prone to corruption and data loss. For this reason alone, you should not use the Inbox to store messages. Instead, create other folders for storing mail and leave the Inbox for incoming mail."
To create other folders click on 'Local Folders' so that it is highlighted, now rightclick on it and select 'New Folder' now give the new folder a name and click on OK. To move an email to another folder just drag and drop.
Folder structure should look like this:
First new folder you just created
Second new folder you created