I was never able to get the junk filter features to work in the most recent (I believe) Thunderbird portable 2.0 alpha. I'm running this on an XP machine off a U3 drive.
I found that the Junk folder did not automatically create, leading to various efforts on my part to create one myself. I have the mozillaZine "Junk messages not moved" and followed the instructions (thank you), but the ability to automatically moved Junk mail items to the Junk folder never appeared. I reinstalled a couple of times.
So I'm back with the released product 184.108.40.206 which works very well in this and other regards.