how do I make rules in mail work?

I have been trying to apply rules to my inbox folder. Since some recent update the rules do not apply to mail that is already in the inbox or any other mailbox. If I create a new rule and click on 'Do you want to apply rule to selected mailboxes' yes. When asked if I want to apply the rule to all messages that have already come in, yes again. Nothing happens and the rules do not apply to all messages either. Is this a glitch that fill be changed hopefully in some future update (is was working fine until about six months ago!!) or am I doing something wrong?

All help much appreciated!