I'm pretty sure that OE doesn't have a built in spam filter.
This being the case, I would guess that you are running an Internet Security program (such as Norton, Eset, McAfee) which is filtering the mail.
If so, you can changing the setting in the control panel for you security program.
Firstly, if you go into your junk e-mail folder and right-click on an e-mail, there is a junk e-mail header option on the menu. Go into that andthere is another option to change the mail to Mark as not junk. Also on there are the second options.
Add Sender to Safe Senders list
Add Sender's domain to Safe Senders list
If you follow the instructions above, it should help reduce the number of e-mails that go straight to the Junk folder.
Further to my first post, if you select Add Sender's domain to Safe Senders list before Add to Safe Senders list, the piece of mail will stay in your Junk folder. Do it the other way around and the mail will move straight into your inbox instead.