Junk email filtering - Outlook 2003

[Ian]

When using Exc 2003 and Outlook 2003 junk mail filtering
works when deliver new email is set to mailbox - however,
when it is set to personal folders it no longer works?

Is this because when you use mailbox the message stays on
the exc server and when you use personal folders it
removes it from the exc server?

Is there anyway to apply the filer to personal folders?

Thanks -Ian