create new folders by right clicking "personal folders" -> new folder....give them appropriate names.
goto tools -> account settings. click appropriate account, and click the "change folder" button bottom left and change the delivery location to one of the folders you made.
hope this helps, works this way in outlook 2007, presume its either the same or very similar in previous versions.
EDIT: ACK! sorry didnt see you were using outlook express....its a pile of cack, so might not be able to, if you cant find similar to what i describe i really suggest using outlook from the office pack instead if poss.