I assume you are using Outlook, so the Outlook's default option is to delete the mails from the server after downloading. You can change this option by
>> Open Outlook. From the main window, go to the "Tools" menu and select "Email Accounts." Click on "View or Change Existing Email Accounts." Click "Next." The "Email Accounts" dialog box will open.
>> Select the name of your email account by clicking on it. Then click "Change." The "Change Account" window will open.
>> Click the "More Settings" button to open the "Internet Email Settings" box. Go to the "Advanced" tab.
>> Select the "Leave a Copy of Messages on the Server" check box in the "Delivery" section of the dialog box. If desired, select the "Remove from Server after __ Days" check box and enter a number of days.
>> Click "OK" to apply the changes and then click "Finish."
If you are using another mail client than Outlook, the same option can be available on email account settings.