Outlook's junk mail filter often gets blamed for putting mail in the Junk E-mail folder when some other program did it. So beginning with Outlook 2007 SP2, the Infobar tells you if Outlook junk filter moved the message or not.
If Outlook didn't do it, it won't tell you what put the message in the junk folder; it only reports if Outlook's junk mail filter or something else was responsible. You'll need to figure out what that "something else" is. It could be a rule or a anti-spam filter installed by your antivirus.
Outlook marked the message as Junk e-mail
You can add the sender to the safe list to prevent future messages from being moved into the Junk E-mail folder:
Outlook didn't do it
Adding the address to the safe list may not prevent future messages from being moved to the junk mail folder, depending on what program moved the message. It could be a 3rd party anti-spam add-in or a rule in Rules Wizard. (The message in this example was moved to the junk folder by a rule.)
This information is only added when the message is moved into the Junk E-mail folder as its downloaded into Outlook.
Outlook doesn't know
If the message is moved prior to downloading, such as by a server-side filter, the Infobar won't say how it got in the Junk mail folder. If you move a message to the junk mail folder after it's downloaded, either by using Run Rules Now or dragging it, it also will not contain this line.
In this example, I drag and dropped the message in the junk folder. The Infobar doesn't say Outlook didn't do it, because it was moved after the message arrived.