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The steps you need to follow to leave mail on the server depends on your version of Outlook. The dialog is identical in all versions.
In Outlook 2010, the default is to leave all mail on the server for 14 days. This change was made to prevent problems when people set up new accounts and wanted mail left on the server but opened Outlook before setting Outlook to leave mail on the server. Once it's downloaded by POP3, it usually can't be put back.

Outlook 2010 users who do not want mail left on the server will need to go into More Settings and change it.