I use OE at home for internet mail, and Outlook (2003) at work.
On my Outlook client, it is configured to use an Exchange Server, so I suspect that there would be some differences in the rules that can be set up.
But Outlook has both client and server-side rules. Assuming that only client-side rules are appropriate in your case, you need to define and configure the rule, then apply it. When I do so, my Inbox is Microsoft Exchange Server - I assume that your inbox points to that associated with your mail account?
You should be able to test by "Running Now" in the appropriate folder.
SD