Why Rules Don't Work
If you are new to rules, add one rule at at time. This way you can check for problems easily.
Common problems....
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A prior rule is acting on the message and no additional rules are able to act on that message. You can drag rules to a higher position, but MLM and JMF will always run before rules if either one is enabled.
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Actions which Move messages or run AppleScripts cannot be followed by other rules. This does not apply to Entourage 2004.
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If mail category is getting reset, check rules above. The "default" action for every new rule is "Set category to None". If you don't switch that popup but just add other actions, it's going to turn "category" status off.
- 'Mailing List Manager' entries work differently to Rules, and are designed specially for Mailing Lists. Specifically, they don't check who a message is 'from' (since mailing lists can have thousands of contributors), but who a message is 'to' - messages that were sent 'to' the mailing list address, will be handled by the MLM entry. If you try and set one up to handle junk mail, it will use your address (taken from the 'to' field) and handle all mail addressed to you!
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Check your Criteria. You might want to select "if any criteria are met"

Sometimes rules can become corrupt. These are sometimes the hardest to find. When you do identify the corrupt rule(s), delete the rule and make a new one.
Troubleshoot Rules:
Identify problem rule:
Disable all rules as a test. Enable one rule at a time to find the problem.
Once rules are run on a message, you cannot run rules on message again. However you can drag the message to the desktop and then back into a local folder. This will cause you to have a duplicate message but this new message will not have had rules run on it. When you now Apply all rules, the MLM should fire and you can help determine which rule is causing the problem.
Search on "Troubleshoot Rules" in Entourage Help for detailed troubleshooting.