See:
Messages in Inbox or other mail folders disappear
http://www.insideoe.com/problems/bugs.htm#mailgone
Recovering lost messages
http://www.oehelp.com/OETips.aspx#4

[You post about an OE6 problem in an OE5 newsgroup?]

Why it happens:

http://insideoe.tomsterdam.com/problems/bugs.htm#mailgone
  http://www.microsoft.com/windows/IE/community/columns/filecorruption.mspx

Recovering the missing data: http://www.oehelp.com/OETips.aspx (#2 and #4)
and http://support.microsoft.com/?kbid=918069 (Notes section under
Resolution)
~~~~~~~~~~~~~~~~~~~
DBXpress (faster, more powerful, with even greater functionality)
http://www.oehelp.com/DBXpress/Default.aspx
~~~~~~~~~~~~~~~~~~~~
Avoiding Such Corruption in Future:

- Don't use Inbox or Sent Items to archive messages.  Move them to local
folders created for this purpose.

- Empty Deleted Items folder daily.

- Disable Background Compacting [not available in SP2] and frequently
perform a manual compact of all OE folders while "working offline".  More at
http://www.insideoe.com/files/maintain.htm

- WinXP SP2 only: Do not shut down your machine while Windows is
automatically compacting your message store.

- Your anti-virus application's email scanning feature can also cause such
corruption.  Disable it.  It provides no additional protection.