Boy, we do get some interesting ones here, don't we?
First I'd suggest you try "Compacting" the Folders from the File Menu in OE. That may do a clean up job.
Then I might try creating another Identity and importing all the e-mails you want from the Main Identity. There'll be some more housekeeping to do with Shared Contacts etc , but that'll be straightforward. If the new Identity performs correctly, then the problem won't be with OE but with the files for the Main Identity.
The E-mail folders that exist as Folders in OE are, in fact, Files in this location or your equivalent:
C: \Documents and Settings\fobotcso\Local Settings\Application Data\Identities\{42930D58-3C20-4006-A45D-320CAE985518}\Microsoft\Outlook Express
This can be greatly simplified (eg for backup purposes) if you are prepared to go deep into the Registry and edit the "Store" directory. But that's another tale.
There'll be a different 32 digit number for each Identity.