How to automatically move subsequent conversation messages to a folder in Outlook?
If you right-click a conversation in the conversations view, you can go to Move > Always Move Messages in This Conversation.
I have not figured out how to make this apply automatically, i.e. all new emails move to the conversation's folder. If someone knows how to do that, please post a new answer.
In Outlook 2013, you can include messages from other folders on the View ribbon:
Not sure if that option is available for you in Outlook 2010.