New Mail Confuses Me

Mail is confusing me. When I delete messages, they're disappearing entirely instead of being moved to the trash. Sometimes they end up in the archive, but this seems to not be correlated with my toggling the "move deleted messages to Trash" option. For instance, right now, that option is selected, and when I hit "delete" a particular message evaporated. Where is it? I don't even see a trash.

 

Yeah, I had seen that. I think the whole archiving bit has confused me. I'm just gonna stick to trash messages; I think I got it to work. Thanks.