See:
http://www.insideoe.com/problems/bugs.htm#mailgone
Recovering lost messages
http://www.oehelp.com/OETips.aspx#4

All compacting does is release wasted disk space from previously deleted messages back to
the operating system for other programs to use.  It does not change the format of the
messages or the folders.  If messages disappeared, then either the compacting got
interrupted or the files are corrupted.

Why it happens:

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

Recovering data: http://www.oehelp.com/OETips.aspx#4
~~~~~~~~~~~~~~~~~~~
DBXtract
http://www.oehelp.com/DBXtract/Default.aspx

DBXtend (additional functionality)
http://www.oehelp.com/DBXtend/Default.aspx

DBXpress (faster, more powerful, with even greater functionality)
http://www.oehelp.com/DBXpress/Default.aspx

OEX (OE Enhancement Program)
http://www.oehelp.com/OEX/Default.aspx
~~~~~~~~~~~~~~~~~~~~
Avoid 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 [N/A in SP2] and frequently perform a manual
compact of all OE folders while "working offline".  More at
http://insideoe.tomsterdam.com/files/maintain.htm.

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

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