Downloading mail via Windows Live Mail

Question

I've just installed Windows 7 Professional, so am having to convert from Windows Mail to Windows Live Mail.  Lovely new interface and all, but ...   I need to download my e-mail onto my computer.  I've set Windows Live Mail up as a pop3 account and everything works fine.  Unfortunately, what it doesn't do is remove the e-mail from my ISP server as it downloads it (as all the previous non-live versions did) and consequently, unless I go in and remove it manually from the server website, it just downloads the same e-mails over and over each time I open it.  Surely there must be a way around this or is it just that much of a web application that I can no longer get the e-mails completely down onto my computer using this program?