Firstly don't use delegate sharing to achieve this. As you are aware, you have to use the file menu to access their inbox and associated folders. Remove delegate sharing.

The next stage is achieved in two steps. First the user that owns the mailbox has to assign you permissions to you to allow you to see/edit there emails. They will need to right click on their mailbox and select properties, select the permissions tab and then click the add button to add you. Once you are added you can then set the necessary permissions for you in the same window. Make sure you apply the changes. You will probably have to do the same thing for the inbox itself and any other folder in the inbox that you need to gain access to.

Second step is you have to add their mailbox to your profile:

• Go to the Tools menu and choose Options
• Click the Email Accounts button
• Click the Mail Setup tab
• Verify that View or change existing email accounts is selected and click the Next button
• Verify that the Microsoft Exchange Server is selected and click the Change button
• Click the More settings button
• Select the Advanced tab
• Click the Add button and enter the user’s name in the box and click OK
• Click OK
• Click Next
• Click Finished

If you can't see their inbox and additional folders it probably because you didn't set the permissions for them correctly (go back to the first step)