Do the messages completely disappear or do they go to Outlook's Deleted Items folder?
I assume you've checked Tools, Options, Other, AutoArchiving, that you've checked Tools, Rules and Alerts.
Not to insult your intelligence, but I've seen users close an Outlook e-mail with the big "X" in the middle of the toolbar instead of small "X" in the upper right corner of the window. The one in the middle of the toolbar is a shortcut to the Delete command, not the command to close the message / window.
Has Outlook always done this on this machine, or did it just start? Did you install Outlook 2002 yourself or did you buy the machine with Outlook already installed?