Currently Being ModeratedNov 14, 2012 9:06 AM (in response to GranSoren)
What type of email account are you using, POP or IMAP? Does it happen with more than one account?
If you have a POP account, that service downloads the emails and then automatically deletes them from the server. See this Apple doc for more info -> Using a POP account with multiple devices
Currently Being ModeratedNov 16, 2012 1:55 PM (in response to GranSoren)
I assume you're using a Hotmail account because you're mentioned checking your email from the MSN webpage, which would mean you are using a POP email service.
Are you checking your email with Outlook, Mac OS X Mail, or Thunderbird on any computers? If you are, you'll want to reconfigure the email client on the computer as shown in the article I linked above.