I'm having the same trouble as he is. I have all my settings in Express just as you described they should be. I do use a program called POP Peeper, but it's just a mail notification program. It just sits in the background, checking for new mail every five minutes and playing a sound when I've got new mail. It doesn't do any automatic filtering or anything. The only other program I have is eTrust's EZ Anvtivirus and Firewall, and they are at their minimalest setting. In fact, I don't think the antivirus software even checks email. (Just checked, it doesn't mention it anywhere...)
This seems to all have started just after I uninstalled Winamp. Coincidence? Any ideas?
Thanks,
Defiant005