Junk mail filtering does not work by design when Outlook is not running in cached exchange mode. To turn on cached exchange mode:

1. On the Tools menu, click E-Mail Accounts, click View or change existing e-mail accounts, and then click Next.

2. In the Outlook processes e-mail for these accounts in the following order list, click the Exchange Server e-mail account, and then click Change.

3. Under Microsoft Exchange Server, select the Use Cached Exchange Mode check box.

4. Exit and restart Microsoft Outlook.

For more information, see:

http://office.microsoft.com/en-us/outlook/HP010223431033.aspx