Archiving in outlook 2003

When you perform an archive, you have to be sure to 'turn on' the autoarchive from:
Tools -> options -> other -> autoarchive. Check there the 'Run autoarchive every...'
You will have to configure the default to a pst file and then to open the property of each folder to configure them according to the default or to a different setting.
For example you would maybe prefer to delete the 'deleted items' after 2 months rather than moving them to the pst file.

Sometimes the outlook archive is not working when doing it manually...
If you perform a manually archive, you can choose the default: "Archive all folders according to their Autoarchive settings" or the second option: "Archive this folder and all subfolders"
With this option, you will have to be sure that the date is not too older.
The second reason why the manually archive doesn't work is because the modified date is newer than the message you want to archive.
To verify the modified date:
View -> Arrange by -> current view -> customize current view. Click the fields button -> under 'Select available fields from' -> change to 'All Mail fields' -> choose Modified and add it to the right side -> OK -> OK.
Click on the mofified tab and check that the message that was not moved was modified before the archive time.