As caisson says, messages only get moved out of the new mail folder by some sort of filtering rule. Those can exist in autofiltering, Spamhalter, Content Control, and rules created via Tools | Mail filtering rules.  These rules are stored in the winrules.pmc file mentioned by caisson.  The contents of this file can be viewed with a text editor.  As for Content Control, make sure its Basic Spam Detection set is disabled.

Creating a new folder, you can make it one with autofiltering.
I do, and drag the mail that is supposed to go there.
And subsequent mail from the same sender, ends in the "Junk og suspitious mail" folder.
And every time you move the mail from there to where it should be autofiltered, it adds the same rules for filtering.

It's a great idea.
Can it actually function?

Is autofiltering active on the Junk folder. If so make sure the sender's address is not associated with that folder. (Manage autofilter folders)

No rules appied to Junk and suspitious mail.
No rules applied to New Mail folder.
And none of them appears in the autofilter section.
Other folders that have autofiltering appears here - some of it functions, some of it doesnt...

Seems like all mail are moved to junk... and some of it moved on from there.
Tried moving some from Junk... back to New Mail, and it is immediately moved back to Junk...

So - guess I'm not recieving any new mail, just junk...
Not really the way I see it...

Do have Spamhalter and/or content control enabled?

Yes. Will tryto turn it off.
Doesn't make sense that these messages shold be considered spam tho....

You are probably better advised to leave it on for the time being to see what it is doing.

Spamhalter has a message status indicator - a small traffic light set. Messages classified as spam show red, not spam green and unclassified grey.

Clicking on the indicator provides the details. Those classified incorrectly as spam need to reclassified as not spam and moved out.

Turns out it wa off. I just assumed default setting was on, because I've seen it mentioned in menu's within the program.

It's off - and autofiltering does sometimes function and sometimes not.
Some email are allowed to stay in the New mail folder, and others are not - no filters on either mailbox.

Seems theres another problem. Reading new mail, it can say fx 6 new was read - then some are moved to the correct boxes, and others are moved to junk, and some not moved.
Problem is numbers do not not mach. Some mail is apparently simply discarded - not to the garbage folder; it never turns up. Or it is moved to otherfolders, without these folders being marked, so the user can find the new mail. I'm supposed to read it. Should not be nescessary to have to look through all the folders to find it...

So either Pegasus is not reporting numbers correctly, or it is discarding email, all on its own.

This would kind of be consistent with pegasus deciding where mail is to be kept, what mail can be sorted automatically. This is not really usefull.

I was using Thunderbird. Had a crash and all mail is gone - and TB is a pain in the ass to setup.
But Pegasus will not let me keep my mail in the folders where I thing it should be.
So I'll turn off filtering to see what happens, and probably be looking for replacements.

Might be worth deleting the CFDEFS.PM file.

See this thread:

 http://community.pmail.com/forums/thread/24065.aspx

Just happened again.
2 new emails in New Mail boxen it says in the popup thingie.
Folder is marked in green.
Clicking it, the mail is moved to Junk folder, taht in turn turns green.
There is only one new email.
Feels like I'øm chsing my own email, but only allowed to see, what Pegasus things I should see.

Have you deleted the CFDEFS.PM file from your mailbox?

Yes.
Still having problems, with finding new email.
It says 3 new - one is in New Mail folder, but is moved to junk, when New Mail folder is opened.
The other 2 new ones, nobody knows where vent...

Think I'll be trying out some other pemail clients, when I get the time...

By all means do, but it is most likely that you have a configuration issue rather than a shortcoming in the program.

If you have eliminated autofiltering, spamhalter and content control the remaining possible issue is a rogue rule.

You should disable any rules in place and check the winrules file in your mailbox to see that has happened.

Another option you have is to back up your mailbox and then do an uninstall and reinstall.

If you want to go down that path assistance is available here.