Check your message rules to ensure they aren't the problem (Tools | Message
rules). You might also try compacting and repairing the database (see www.oehelp.com/WMUtil/)
Have you tried to go to the safety options' box in your email program? You
might try that, and check the box that says automatically add contacts to
safe senders list. Then you can click on another menu that will move your
messages to one folder.