What operating system are you using?
The Unread Emails folder sounds like a Search folder.
Do you see a Search Folders folder? If so, right click the folder and select: New Search Folder.
I don't know of such a folder existing in Outlook Express, there is such a folder in Outlook 2003 and Outlook 2007.
You are using Outlook Express and not Microsoft Outlook, correct?
Check Help > About to verify the program name.
If so, do you have another program installed such as, an anti-spam program that works with Outlook Express?
Or a third party folder search for Outlook Express?