Mail is not downloading all my messages

Hello,

I'm having a really big problem with my Mail. It's not downloading all my messages and that's a big problem cause it's my working account and I'm missing some mails from clients, providers, etc..

I check my messages with Mac Mail sometimes waiting for a message and nothing happen but then I enter to my mail account using webmail and there they are.

Also in Mac Mail if I press second mouse bottom over the account name and choose the last option "get information account" (I'm not sure if that the exact name cause I have it on Spanish) the a window shows all the messages on the server and there they are too but not on my mail.

I hope anyone can help me with this issue...

Thanks