You are reading semi-correctly. The actual message in the Message Rules dialog box is: "Note: You can't use rules for IMAP or HTTP email accounts like Windows Live Hotmail."
If you are getting your mail via POP3, which most people are not these days, you can create message rules to sort/direct your messages to local folders.
With IMAP accounts, you should be creating the equivalent of these message rules, and the corresponding folders or categories they'll use, on the e-mail server itself. For example, I have a Gmail account. Gmail uses what it calls filters to achieve the same thing as message rules on the Gmail server and what it calls "Labels" that equate to folders (yes, it's a bit different, but the conceptual idea is the same). IMAP expects that you'll be handling any "pre-receipt processing" on the IMAP server and IMAP automatically propagates new folders, etc., to your e-mail client.
If you know that you're using the older POP3 protocol to download your e-mail, you can use Message Rules. If you know you're using IMAP, you need to configure the equivalent on your IMAP server and those changes will be shown within your e-mail client program.