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The way its set up is kinda weird, but it helps save space. When you send a message it gets stored in the sent folder, and when you receive one it gets stored in the inbox. If you reply to a message your Treo starts it as a chat session. Even though you have all of these folders your sent messages are only stored in one place, just displayed in several.

Here's a for instance. You have a chat session going, and decide to delete all of your sent messages. When you do this, all of your replies are deleted from the chat session as well. Make sense?

Hope this helps!