Emails keep disappearing!

Ever since I installed OS X Lion, my emails have been disappearing. Now I'm only provided email history for a limited period. Why can't I see my emails beyond a certain date after I've downloaded and read them, if I want to keep them? Today is the 4th of July, and I have no mail history before 26th of June!

I have some important attachments I need to get hold of. Where can I find these?