create rule with distribution list

I have created several rules. Isually I make personal folders and e-mails I
send to individuals, a copy goes into their folders. However, I cannot
create a rule using a distribution list "Managers". Meaning, I have personal
folders set up this one being called "managers" and I want a copy of any
e-mail I send to "Managers" to be put in this folder- I try to set the rule
using a distribution list and a pop up window apprears and reads "is a
personal ditribution list that may not be used with this feature? Would you
like to use the individual members." If i select yes, it does not put a copy
in this folder or in theirindividual personal folders I have set up also.
Have I missed something???

Thanks,
DK