I wanted to instal email client.I tried a few like thunderbird,eudora,pop peepers etc. I also tried to configure outlook express. This I have used before also, but the problem is that it deletes messages from the server, and the same thing happened again. My question si that is there any way to retrieve the deleted messages from the server.

I know in Thunderbird there is an option to keep messages on the server.
Under Tools->Account Settings->(your name here)->Server Settings.

As far as I know, there is no way to retrieve deleted messages, but it may depend on the mail provider.

Hope this helps.
WallyH