OE can empty the deleted items folder on exit (this setting is in options>Maintenance)
MSN and Hotmail are http, so the deleted items folder goes acording to their policy (all email is in their server, you just have a copy in OE) and you cannot turn it off.
Hotmail policy for example is to delete a couple of times a week (and you cannot change that) as well as delete the junk email forder once a week (you can change that to delete inmediately )
the deleted items folder is there basically in case you need to recover something almost inmediately. If you would like to keep a copy of the folder for whatever reason, try doing a archive of the email and set to archive items older than 1 day (on Outlook, and not in OE) with OE pretty much you can only do a copy.
Unless someone else has a different solution. In my case I have barely used deleted items. just a couple of times that I deleted an email by mistake