Where do my alias email disappear to??

I have set up an alias email address which seems to be working, but as soon as I have read them, they just disappear!!!  I have searched through all of my folders but they are no where to be found.  I have lost some really important emails so am pretty miffed.  I always check my emails through Microsoft Outlook and still have  @hotmail.com addresses (not sure if this makes any difference).  Does anyone know how I can stop this from happening??  Kind of defeats the object of creating an alias address in the first place....