Check to make sure you haven't accidentally dragged it into another folder.
Look for a + sign beside any folder to indicate a subfolder. Also,
doublecheck your view in Outlook to make sure you can see everything.
Changing your view can hide unread messages.
Is it gone just from your "Favorite Folders," or gone from "All Mail
Folders?"
In OL2003, if the former, scroll down through "All Mail Folders," and find
it under "Search Folders." (Expand Search Folders if you have to) Then
drag it up to "Favorite Folders."