Mail Trashed My Server Data

I just bought a Mac Air, and am new to Mac. Having set up Mail to reach into three email accounts I have just discovered that there are different settings for each account depending on whether is it Exchange, or Yahoo, or Yahoo for Small Business. Mail has just sucked out 4,000 business emails from the Yahoo business account and one week later deleted the lot from the server. You might say I still have them. But I didn't want them deleting and I want them back in the server where they belong. This beast did it totally without warning, no prompt nothing. Just quietly takes away my secure server business mail and trashes it. Please can someone tell me how to get it out of Mail and back to where it belongs. This setting only appeared on one out of three accounts. The others have differently formatted tick boxes - depends on the type of email account.