Well I'm sure you did this in Outlook 2002
1) On the Tools menu, click Options.
2) In the Options dialog box, click the Other tab, and then click the AutoArchive button.
3) Set the Clean out items older than option to the number of months you want.
4) Click the Apply these settings to all folders now button.
5) Click OK twice to close the dialog boxes.
How about exchange, did you configure it too.
1) Open up the properties for the store that you would like to enable for Message Journaling.
2) Check the “Archive all messages sent or received by mailboxes on this store” check box.
3) Click on the Browse button and choose the location that you would like the message journal to be recorded, this can be a mailbox or public folder, I would recommend having a public folder that is only visible to certain people. By using a public folder you can also configure an age limit on the folder.
4) For this example I created a public folder called “Message Journal”, I created a group called “Message Journal Admins” and gave them “Reviewer” access and set the access for the “Default” and “Anonymous” to be “None” and also cleared the “Folder Visible” check box.
Good Luck