You make rules inside out look to direct incoming e-mail to a specific location, ie e-mails from
go to folder xy. You can direct more than one addy to go to a specific box or folder.
It looks to me like you have been set up on a BES. BES and BIS are delivery systems to your phone. The biggest difference is BES is far more advanced and immediate. The delivery to outlook doesn't change tho. BES and BIS use RIM servers to access e-mail servers and deliver e-mails to your phone. Outlook does not use those servers, it goes to the e-mail server directly. Exchange, to put it very simply, pushes these e-mails through to outlook as well as your device for immediate contact.
you configure outlook to do what ever you need with incoming e-mails. Exchange nor BIS have any impact on what happens to e-mail after you have downloaded it off of the server.