outlook other than inbox save replies messages with original messages

I have outlook 2002 I hae two personal folder files; one
personal one business. All email goes into the personal
in box and then gets filtered. When I reply to a
message, it goes to the sent folder and not the same
folder I replied from.

It is turned on in the options. It will work properly in
the personal (main) .pst file, but not when the email
goes to the business .pst file.