If you are connected to an exchange serevr then the rules are not applied at the client (Outlook) they are applied at the exchnage server. This is by design and means that you dont have to be logged on and with Outlook open in order for the rules to work. What I have suggested should work fine..
If however you arent user an exchaneg server then you are stuck. Rules then ahve to be processed by some kind of client. The iphone then could not do this for you.
I hope this helps explain the situation..
