Do I have to run an Exchange Server for the Junk E-mail filter in Outlook 2003 to work?
No, but if you do run an Exchange Server you have to use Outlook in cached mode. (Tools | E-mail Accounts | View or Change… | Exchange) or use a personal folders file (PST) as your default message store. (See 1.1). If you don’t have an Exchange Server then you ARE using a PST file as your default message store and the Junk Mail filter will work fine as long as you have it enabled. If you’re not using Exchange you may want to check out SpamBayes for spam blocking: http://spambayes.sourceforge.net/.