Do you have any filters setup, as described here? :
http://help.ovh.co.uk/ConfigureFiltersOnServer
If not, some e-mail applications will automatically move mail suspected of spam to a "Junk" or "Spam" folder. Mozilla Thunderbird does this, for instance. Also, some anti-virus packages will do this as well, such as Symantec Internet Security -- you wouldn't even find the e-mail in your regular e-mail application. So double check the history of your anti-virus application, to see if it intercepted anything it might have found suspicious.
Lastly, if you suspect you're missing an e-mail and you're definitely sure that it was not intercepted by a spam filter / anti-virus on your end, then I'd ask the sender to re-send it to another e-mail account and forward it (along with the e-mail headers) to OVH Support so they can inspect their server logs to see if was indeed received but not delivered for some particular reason.