Vista - Windows mail can compact the message store.

I've been reading the comments and questions about compacting messages. I try
to keep my computer very clean by deleting messages fequently.
What's alarming to hear if, I read it right, is that when I delete a
message, Winmail stores information about the messages I delete. Why would it
do that? When I delete "anything" I expect it all to be deleted.
Everybody gets unwanted junk mail and I'm affraid to even think of what may
be lurking around in my computer because Windows Mail is storing bits and
pieces of it.
Is there a way to change it? And does this go back to the old Outlook
Express days?