Is OE stating that you have unread mail or is it the XP Welcome Screen?
(Unread Mail notification in Welcome Screen has nothing to do with OE.)
Compliments of Kelly:
Use TweakUI/Logon/Unread Mail and Repair/Unread Mail Count
http://www.microsoft.com/windowsxp/pro/downloads/powertoys.asp
Disable Unread Mail on the Welcome Screen (Line 100)
http://www.kellys-korner-xp.com/xp_tweaks.htm
To remove an account or to change the count manually:
Start>Run>Regedit>navigate to this key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\UnreadMail\[Your
E-Mail Address]. In the right pane modify: Message Count, Change it to 0.
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\UnreadMail. In
the right pane modify: MessageExpiryDays Change it to 0.
Overview of Mail Notification Display on WinXP Welcome Screen
http://support.microsoft.com/support/kb/articles/q304/1/48.asp