If you're using an IMAP or Exchange account, and you have it set up so
deleted messages go to the Deleted folder, click the Deleted folder under
the IMAP server, select the message, and drag it to whichever folder you
want it to reside in.
If you're using a POP account (which I suspect), go to Tools -> Accounts,
open the account, click the "Options" tab, check the "Allow Online Access"
button, and click OK. Then, in the folder list, you'll see an icon for the
POP server. Click it, and the list of messages on the server will download.
Find the message you want to retrieve, and drag it to a folder under "On My
Computer".
