Spam folder problems

I've been finding the following message(s) in my Inbox for days now, but hadn't been paying much attention to them because I was busy:

Your folder Spam contains one new message.

Messages in this folder will be deleted after 28 days.

Summary:

From: <Email address was here>
Subject: <Email subject was here>
Size: 415576​

Yesterday I got one of these emails and immediately noticed that all 3 emails listed were from people I'd previously sent emails to. One of the emails was a critical file that was being sent by a client. The problem is, I can't find any folder labled <Spam> (or Junk), and after 3 hours of searching my computer, I couldn't find the emails anywhere. Since I desperately needed that file, I disabled the Antispam module, made sure the contact was added to my address book, and clicked the Trusted address on Outlook Express. I then emailed the client, explained the problem, and asked them to resend. This morning I find that they did, and that Eset has sent me another message exactly as above, with the updated Subject Header. I checked and the anti-spam filter is definitely off. I messaged Eset Customer Service yesterday but have nothing but an automated response saying they'll respond eventually. At this point I'm ready to remove Eset from my computer totally, unless someone knows how to help me. I can't have this software randomly choosing clients and deleting messages, because I'll lose my job. I can't wait for a slow service department to email me and tell me to read the Knowledge Base, etc (I've already spent hours doing that and have not found any useful information). I need to fix this now or uninstall and go back to Norton.

Information that might be helpful:

I'm working from home
Windows XP Pro with Srv Pack3 installed
Eset Smart Security v. 3.0.642.0
Find function on Eset doesn't find the email
Explore on Windows doesn't find the file

Where is this supposed folder and is there a way to retrieve my email and make sure this never happens again? If anyone can help me I'll be eternally grateful.

 

The messages you mentioned certainly don't come from our antispam. Such text does not exist in the rc files and our antispam does not delete messages automatically after a certain time period.