You mean download mail from folders other than the Inbox folder?
That is supported for Hotmail/Live/MSN accounts, IMAP accounts and Exchange
accounts. It is not supported for POP3 account. This is a limitation of the
protocol and not Outlook.

If you use HTTP or Outlook connector, it should download all
Hotmail/MSN/Live mail folders. for other accounts, like with your isp, you
need to use IMAP as POP3 is inbox only.

POP only understands the concept of a mailbox.  There is just one
mailbox.  There are no folders in that mailbox.  Just because Outlook
calls its local folder "Inbox" and the webmail interface to your
account has server-side folders of which one is called "Inbox" has no
bearing that your POP account provides just one container from which
to retrieve e-mails: the mailbox.

If you want to synchronize your local e-mail client's "folders" with
the server-side "folders", like you see when using a webmail interface
to your account, you need to use a protocol that supports the concept
of folders within a mailbox.  Start checking if your e-mail providers
supports IMAP accounts.  The older Post Office Protocol only knows
about the mailbox container with no hierarchical structuring via
folders.

I don't use IMAP (mostly because my ISP doesn't provide IMAP support).
As I recall, once you define a new IMAP account, you will get queried
if you want your e-mail client to poll your IMAP account to retrieve a
list of the folders currently defined for your server-side mailbox.
If you create a new folder using the webmail interface to your IMAP
account, you may have to re-sync your local IMAP account to include
that new folder.  Even if you sync your local e-mail client to the
server-side IMAP folders set, that doesn't mean you have to sync to
all those folders.  You can select some that you never want to bother
with, like the Trash folder.