Unless you've set up any filtering rules within Outlook Express (and created a 'Junk' folder to send suspected spam to) you won't find a junk folder anywhere on your PC.
The advice you've been given refers to the spam filtering which many ISPs (and other email services) apply to an email account. Suspect mail isn't forwarded to your PC; it's simply placed in a 'junk' folder on the host's server.
To see what's in that folder you need to access your email account via your email provider's web-based service (rather than with Outlook Express). That's usually achieved by going to your ISP's home page and clicking on 'email', or 'my mail', or something similar. You'll be asked for your username (or email address) and password. Once you've entered those details you'll be able to access the folders on your host's server.
The 'Inbox' will only show mail that's waiting to be downloaded to Outlook Express (unless, unusually, you've configured OE to leave a copy of your mail on the server when it's sent to your PC). If your provider operates spam-filtering there will also be a 'Junk' folder (which could also be labelled as 'Spam', 'Bulk' or something similar). Clicking on it will display its contents. If you find something in there which shouldn't have been filtered out you can label it as 'not junk mail'. Doing so will ensure that future mail from the same address is no longer filtered out.
Chris