That sounds like the file linking function in Explorer's options. The idea is that if you saved a webpage & consequently any pics used in it as well & then deleted the .htm file it would also delete the folder with the pics used on the page. In theory [never tried it] it would also do it the other way around. This could, if my theory about the reverse also being true is correct, delete an email if the email had been saved seperately.
Having said that though, to the best of my knowledge - emails aren't normally stored as seperate files, they're stored as compressed database files, so that all emails in your Inbox "folder" are actually bundled up in 1 file called Inbox.dbx, & so on. Additionally, when you choose to save an email to a seperate location on your HDD it bundles the email itself, along with the attachment, all into 1 .eml file.