POP Folder

I've read similar on here but it seems the issue may need some further help if possible?  I had a POP folder in Hotmail and Outlook previously.  When I log-in to Outlook now there is no POP folder (I've checked in Deleted etc.).  Does this mean I have no POP folder?  I'm still getting the 

" Your messages are in your POP folder! Some other program is set to download and delete your messages from Outlook. Just in case this was an accident, we've put them in a special POP folder. Not an accident? Change settings"

message but the change settings link doesn't work either - it goes to an error.  I seem to have lost some quite important emails as everything bar the last few weeks has gone.  I only use one of your big competitor's devices to access mail other than Outlook and Live Mail (which has no folder either).  Does this mean the old mail is lost (it doesn't come back with the restore old mail option)?

Thanks