Select the newly added or existing e-mail account and click Tools > Accounts > Mail. Then click Properties.
On the Advanced tab, check Leave a Copy of Messages on Server
If you like you can set up Outlook Express to remove messages from the server after so many days by checking Remove Mail From Server After, and selecting the number of days or you can elect to have Outlook Express remove messages from the server when you delete them from the Deleted Items by checking Remove From Server When Deleted From 'Deleted Items'
Click Apply, then click OK