The default setting for the mail applications (both mail and outlook) will be to remove the mail from the POP3 server once it has been downloaded.
Thus if you open mail, download your email and then open outlook you will not get any mail to download as Windows Mail will have removed it.
You can go into the advanced properties of your mail accounts (within outlook and mail) and tick the option for "Leave copy of messages on server" and to keep things tidy and stop your server account filling select to remove mail older than for example 2 days.
If you perform the above in Windows Mail and Outlook you will be able to download your mail in both applications (And also view online with webmail if you have it).