[Filling-in for Bruce]

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 (see Notes section under
Resolution)

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

- Disable email scanning by your anti-virus application.  It can cause
corruption (i.e., loss of messages), it provides no additional protection,
and even Symantec says it's not necessary:

<QP>
Disabling Email Scanning does not leave you unprotected against viruses that
are distributed as email attachments. Norton AntiVirus Auto-Protect scans
incoming files as they are saved to your hard drive, including email and
email attachments. Email Scanning is just another layer on top of this. To
make sure that Auto-Protect is providing the maximum protection, keep
Auto-Protect enabled and run LiveUpdate regularly to ensure that you have
the most recent virus definitions.
</QP>
http://service1.symantec.com/SUPPORT/nav.nsf/docid/2002111812533106