I assume from what you say that you are both using a single e-mail account, the only difference being that one starts with 'Dave' and the other starts with 'John'.
I have a similar set up at home.
The only way to overcome this is to agree to use OE in just one of the PC user profiles so that e-mails download to the same destination.
To keep your e-mails separate, set up two folders in the Inbox - one called Dave and one called John.
Then set up a message rule or rules which will drop all e-mails starting Dave into the Dave folder and all e-mails starting John into the John folder.