On my Blackberry there is an option whereby one can either delete the message from the server or not. I have mine selected as "not", therefore the message is still on the server when I view it on my PC.
The PC is setup to collect the email and delete from the sever.
I have, over the years, setup spam filters on the server so that, now, very few spam emails get through to the phone. I don't bother with filters on the phone.