This is based on Outlook, so hopefully it is close. Go back into the account configuration for this account in Outlook Express (I think it's via Tools -> Accounts, and then double-click the account in question). There should be an "Advanced" tab -- go to it, and in the bottom, there should be an option that reads something like "leave a copy of the e-mail on the server," with two more options underneath it (how long to leave mail on the server before deleting, and if mail should be deleted when it is deleted from the deleted items in outlook). Check the first box ("leave a copy....") and check the other two if you desire.
WARNING: If you set all of your computers up to leave the mail on the server, there is a potential problem, in that nothing will ever delete mail from the server. With POP, by default, the copy of the mail on your PC/Mac is not "linked" to the copy on the server -- if you delete the PC copy, it does not delete the server copy. And your account on the server will get full.
To fix this... Where do you want to *keep* mail when it is not on the server? Do you want to keep it on one of the computers, or both, or do you not want to keep mail except on the server?
I know how to do this in Mail.app, so that's the part I will describe: go back into the account (Mail-> Preferences-> Accounts -> your account). Click on the advanced tab in your account. Check the button marked "Remove copy from server...." and then set the option below it to "when moved from inbox."
Now, when you delete an e-mail in your inbox, or move it to a saved messages folder, in Mail.app on your Mac, it will delete it on the server (but merely downloading it into your Mac inbox will *not* delete it, nor will deleting it from the server delete the copy on the Mac).
Either do this and the same thing in Outlook (not exactly sure how without looking at it again) or else don't delete a message from your mail.app mailbox until you're okay with it not appearing on the PC....
PS: I agree...IMAP is much better for this. The only problem with IMAP is that sometimes the "offline" viewing is flaky and will not let you see messages in your inbox even though you've downloaded them, because you are not currently connected. If this is a desktop, then that isn't an issue, cuz you will always be connected.) In IMAP, the inbox stays on the server, and is just displayed on the computers. And when you delete a message from the inbox on any computer, it is therefore deleted on all of them automatically.