From OE Help
To store messages on an e-mail server
Storing messages on a server is useful if you need to read e-mail from more than one computer. When you log on to your account from a different computer, Outlook Express downloads messages according to the options you have set. You can store messages on a POP3 server. If you have HTTP e-mail, or IMAP e-mail, your messages are always kept on the server.
On the Tools menu, click Accounts.
Click the e-mail account, and then click Properties.
Click the Advanced tab, and then select Leave a copy of messages on server.