If you have "Send and Receive Messages at StartUp" ticked as an option then any messages waiting in your Outbox will be sent, and your email server/s will be checked and any messages loaded into your Inbox. The other standard folders are Drafts, Sent, Junk and Deleted, but these are not really affected by starting WLM.
Folders such as Zone Alarm and PayPal etc must have been set up by the user(yourself?) - they would presumably be used as Inboxes to filter incoming mail. The Sent folder keeps a copy of all emails that have been sent.