Too difficult to answer, one possible configuration out of many is that the mail is downloaded from your mail server onto your PC and you are only deleting the mail from your PC (and not the actual server). This is common for a POP type configuration. Another is an IMAP configuration where you are deleting the mail but not purging it.

Long story short call your ISP and have them walk you through it based on the configuration of their mail server and your mail client.