For Outlook Express and Windows Mail:
Select menu Tools/Accounts and select your e-mail account. Press Properties button and select "Advanced" tab.
Mark "Leave a copy of message on server". Please check also "remove from server after 5 days" and "Remove from server when deleted from "Deleted Items" too. Press "Apply", OK and "Close" buttons.
For Outlook 2003/2007
Select menu Tools/Account Settings. Select your POP3/IMAP account and select "Change" button
Press "More Settings..." button. Select "Advanced" tab
Mark "Leave a copy of message on server". Please, check "remove from server after 5 days" and "Remove from server when deleted from "Deleted Items" too. Press "OK", "Next", "Finish" and "Close" buttons.