I just had the same problem and HERE'S HOW TO FIX IT. J ust go under library>mail and drag the 2 following files: MessageRules.plist and MessageRules.plist.backup on your desktop.
Restart mail and that's it. U can put back the 2 files in place (overwriting the 2 new one) if u want ur junkmail setting back....Desdmonica was not far from the problem. This is a junkmail filtering related problem...
