http://ca.huji.ac.il/services/internet/mail/leave/outlookxp.shtml tells you how to configure Outlook to do so (leave mail on server), Although it mentions Outlook Express at the beginning, it is about Outlook.
Just uncheck the box.
Hope this helps.
Could anyone tell me how to fix outlook so it stops downloading the same emails over and over again? This wasn't happening when I left on Friday, but for some reason it has started doing this. I am using Outlook 2003.