See this article for some possible reasons why:

The Other E-Mail Threat: File Corruption in Outlook Express:
http://www.microsoft.com/windows/IE/community/columns/filecorruption.mspx

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.

- 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.