I have the same problem...actually on three machines...
Leave a message on the server as mentioned.
In Outlook go to TOOLS than ACCOUNTS and highlight the account you want to use, click on PROPERTIES , open the ADVANCED TAB und check the LEAVE MESSAGE ON SERVER box.... .that's it...
You need to do that on all machines.
Now you have another problem, your account will fill up quickly, so once you are sure to have the files where you want them, make sure to empty the server.