E-mail storage

In my work, I have to deal with a large number of customers/projects, and many important subjects are discussed by e-mail, as well as its attached documents.
If I save everything in folders on Outlook Express, which is the software I use, the software itself becomes so loaded it interferes with the performance.
On the other hand, if I save it on My Documents, it gets more organized because every file on a given job is together, but every time I am looking for a specific message it takes longer to open each message just to check if that was the one I was looking for, since there is no quick visualization. Don’t forget that some people send us messages without a proper identification.
Do you have any suggestion on how to store that information with the most effective way to access it?