I use Outlook (not express) but the instructions may be the same or similar. After using "help" to find "filter" setting info I found this which MAY help.

1. On the Tools menu, click Options.
2. On the Preferences tab, under E-mail, click Junk E-mail.
3. Select the protection level that you want.

No protection Although this turns off the automatic Junk E-mail Filter, Microsoft Office Outlook will continue to evaluate messages by using domain names and e-mail addresses on your Blocked Senders List, and messages will continue to be moved to your Junk E-mail folder.
Low If you don't receive many junk e-mail messages and want to see all but the most obvious junk messages, you should select this option.
High If you receive a large volume of junk e-mail messages, you should select this option. However, you should periodically review the messages moved to your Junk E-mail folder, because some wanted messages may be moved there as well.
Safe Lists Only Any e-mail messages sent from someone not on your Safe Senders List or sent to a mailing list not on the Safe Recipients List will be treated as junk e-mail messages.

Note Changing the protection level is not available if you are using an Exchange Server e-mail account and working online.