Data

fredav1 suggested it was Outlook. In that case, for version 2003:
Go to tools menu, email accounts. View or change existing email accounts should be selected. Hit next, double click the entry for the account you wish to edit. click "more settings..." button, select "advanced" tab, it's the third box up from the bottom.
Note that if either of the other two boxes are ticked, the messages will still be deleted.