Hmm....sounds strange. First of all double-check that you have Outlook set to leave a copy of messages on server. Next, check the number of days, you have Outlook set to retain a copy of messages on the server (ideally you want this option greyed out if you want to retain all).
Lastly, you can try setting up your mailbox in another client e.g. Outlook Express, set it to leave a copy of messages on the server and then send test messages to yourself.
If the copies are retained, you may wish to re-install Outlook. If not...it might be worth speaking to your ISP.
Just before the sun shines, it's always,
D.A.R.K