When Outlook 2003 was first released, some people had to turn off the rules sorting their incoming mail into different folders. The problem was that the rules processed messages ahead of the junk e-mail filter; anything sorted by a rule into a different folder was never checked to see if it was spam.
If Outlook is updated with Service Pack 1, that problem is fixed. Office 2003 Service Pack 1 changes how the Junk Email filter works. SP1 runs the junk filter on all messages before processing the messages using the Rules Wizard.
To bring your copy of Outlook 2003 up to date, visit Microsoft Office Update. It’s a good idea to install whatever it suggests, but be particularly alert for Office 2003 Service Pack 1 and any updates to the Outlook Junk Mail Filter.