A client of mine had the same problem. It's a problem that some hosts have with php mailing. I've been changing this line of code in the plugin's wp-contact-form-7.php file...
$mail_headers = "From: $mail_sender\n";
to the following line of code:
$mail_headers = "From: $mail_sender\nReply-to: $mail_sender\n";
This is line number 289 in the current release.
Your mail client may not use the reply-to header tag by default, but you'll at least be able to see the address of your contacter if your mail client allows you to see the reply-to header, or the raw headers (like gmail).
Would be nice if we had this change included into the plugin so I don't have to keep manually editing the file on updates ;)
Great job on the plugin btw. <3 jQuery.