It seems as if you have an imap AOL account. This is exactly what would happen with an imap instead of an pop account. There are advantages in that any pc, laptop, tablet, or smartphone sees exactly the same e-mails and the same layout. Clearly you do not want that. Suggest that you check whether AOL is set up for imap. If it is no matter what e-mail client you use then it will stay the same.
There isn't any problem with Windows Live Mail but if you don't like MS then try Thunderbird.