Yes, that's happened to me a few times before. In Outlook 2003, go to Tools|Email Accounts. A window will popup. Select 'View or Change(...)', 'Next', then select the email account, and click 'Change'. Click More Settings, go to Advanced, and be sure that "Leave a copy of messages on the server" is NOT checked.
if you have 2003, install SP1 - it has one or two fixes for this problem.
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Diane Poremsky [MVP - Outlook]
Author, Teach Yourself Outlook 2003 in 24 Hours
Coauthor, OneNote 2003 for Windows (Visual QuickStart Guide)
Author, Google and Other Search Engines (Visual QuickStart Guide)