So the mails DO get in your webmail.
Now, it is up to you to correctly setup your Outlook Express so that it can retrieve the mails from your site. please watch the relevant tutorial:
http://www.vodahost.com/tut_email.htm
I don't know what you mean "they are not redirected"
Mails can be "forwarded" to ANOTHER email address, IF you have set up such a redirect. They are NOT automatically redirected to your desktop, (there is no way this can be done), but they are RETRIEVED from your webmail account by your desktop email client (Outlook Express, Windows Mail or Live Mail, or any other) if YOU set it up to do so, as explained in the tutorial above.