TheBat has incoming and outgoing rules (and rules for anything you want really). It can also keep any mail you want to keep on the server (all mail or set by rules). Been using it for a few years now. They're at version 2.x but I never upgraded from 1.x (the messages on the beta mailing list always kept fme from taking the plunge)

I'm going to switch from TheBat to Thunderbird when I get some free time (for Windows and Mac OS).

Bruno