deborah5151,
The iPhone downloads the headers of the messages, and the first few lines for the preview view. When you go to view a message it downloads and caches a copy of the message. This is a temporary cache, and depending on several factors the iPhone may clear this to make room for another message. When you go back to a message that has been cleared from cache it has to download it again.
When it comes to downloading the message, there is two similar errors that need to be considered.
First, "This message has not been downloaded from the server yet" means the iPhone sees the message on the server, and is trying to download it. Depending on the size of the message, its attachments, and how you are connected to the internet it may take a few minutes. The iPhone is capable of displaying the full html version of the message. Many email messages are broken up into multiple parts, each with their own MIME type. For example a message might be in plain-text, html, and have some attachments. The iPhone is capable of displaying the HTML version, and making the attachments available.
Second, "This message could not be downloaded from the server." This means one of two things. The iPhone was trying to download the message and was interrupted, perhaps by a POP lock cause by your computer checking the mailbox while it was downloading. You can also get this message if the iPhone still has the header for the message, but the message has been removed from the server by another mail client, such as your computer, removing the message from the server.
Hope this helps,
Nathan C.