I must admit I too was surprised when you said you had thousands of emails in your Outlook Express. I regularly transfer all my OE emails to CD so that there's only ever approximately 50 emails in my Inbox at any given time.
Plus I do have sub-folders which I've named "Friends n Family", "Items of Interest", "eBay Stuff" and so on. Again I try to restrict the emails in each to 10 - 20. It saves having to trawl through hundreds of emails. If it's more than a month old, chances are it'll be on a data disc, which I simply need to reload onto my computer should I need to access it again.