Got hit by the same old problem and still no answer available. I am using Windows Live Mail with Windows 7. The sent messages are no longer stored in the Sent Folder. Started yesterday.
There was a recommendation on your site which I did not understand: Go File...Options...Mail... etc but where do I find the File menu on the Windows Desktop?
Many users suffer the same agony and no clear cut solution can be found.
In your answer, please try to be as verbose, explicit and detailed as possible.