Are you connecting to your mailboxes via POP/IMAP or an Exchange MAPI connection? I am assuming POP/IMAP, as electing to open additional mailboxes in Exchange will automatically open each one in it's own folder tree.

For a POP/IMAP, if you want Outlook to deliver mail for each account into a separate folder or data file, you just need to select it in the account settings.

1. Click the Tools menu > Account Settings.
2. You'll see a list of your email accounts. Click on the first one you want to edit to highlight it.
3. Click on the Change Folder button beneath the account list.
4. To opt for an already existing folder, just select it in the left-hand pane. If you want to deliver to a new data file, click the New Outlook Data File button. Name your new file and click OK.
5. Click the OK button, and then repeat for the other accounts.

Note that this change will only affect new mail as it comes in. You will have to move the mail that has already arrived. Easy way to accomplish this would be to create a rule based on the receiving account and run it on the mail currently in your inbox.

Hope this helps.

-SW