- Ensure Spaces is enabled.
- Open Mail.
- Open Mail's ‘Activity’ window (Window > Activity).
- Move the main Mail window to a different space, leaving the Activity window where it was opened. (Hit F8, and drag the main Mail window somewhere else.)
- Open something else in the space where Mail's main window now sits—say, a Finder window.
- Hit Alt-Tab and select the Mail application—recall that Mail's main window is right behind whatever you opened in step 5, and note where Spaces sends you.
Henry Story describes how Spaces is "not designed around a person's work habits, but around software components." His article pretty much nails it.