Panther1984 - Welcome to the Board
Which mailer are you using? The following is specific to Outlook Express, but would apply in general terms to other mailers.
When you download an email it is generally deleted from the ISP server unless you have set it up otherwise.
Emails deleted in OE are placed in the Deleted Items Folder - once you have cleared that out they are permanently deleted. However there is a quirk in OE - although the Deleted Items folder appears empty in OE if you look at the folder on the hard drive it is often still full.
Search for Deleted Items.dbx - the default location is shown under Tools > Options > Maintenance tab > Store Folder (You will probably need to enable 'Show hidden files & Folders' to view).
There is software available to extract the contents of .dbx files, such as Dbxtract