You can't connect directly to exchange with a blackberry unless you're using a third party client like AstraSync.
If you're not using BES then you're probably using BIS, which allows you to connect over either POP3, IMAP or OWA. If it's not POP or IMAP then it's most likely OWA.
Who set up the devices for you? or did you use the email setup wizard on the device? if you're using OWA then GEMAR's suggestion is probably going to solve it for you. You can change the settings under messages - options - email settings - (press the menu button) folder redirection and choose the subfolders that you want to have reconciled with your device.