Good news!!! I think I figured it out!
I'm running Windows XP and MS Outlook 2003. The key thing to remember is that out of everyone's response the Inbox is the only thing that received the new mail via Push, everything else updated once you actually went into the folder. This was my experience too until I realized that the folders I had created in Outlook where independant of the Inbox. They were just stand-alone folders created inside of Outlook.
*Here's the fix:*
1. Drag your existing Outlook folders over your Inbox folder. If you've done this correctly then you'll see the plus + sign to the left of the Inbox indicating that the Inbox has subfolders. Also, make sure that these folders are on the server, not in Personal Folders.
2. Update your Outlook Email Rules to point to the folders that are now inside your Inbox. (This may only apply if you actually create the folders from scratch.)
3. Since I already had the Exchange account already setup on my iPhone I noticed that the new folder configuration didn't automatically propagate to my phone. If this is the case for you, then go to "Settings" on your iPhone, then "Mail, Contacts, Calendars", then select your email account configured with Exchange. Now switch the "Mail" option to the Off position, wait about 5 seconds and turn it back on. This will force the iPhone Mail app to refresh your new Outlook configuration from the server. (This is why you have to have the folders setup on the server, not Personal Folders.)
4. Now go to the Mail app on your iPhone select the Exchange email account and you will see your new folder configuration... AND they should now update using Push at the same time your Inbox updates. You're done!!
I hope this helps everyone!
Best regards,
Michael