Whatever program you're using to download the pictures should give you the option of deleting them from the camera or not. It's possible that you've installed or updated another program which has taken over the default status for doing this - Nero is a common culprit - or you've picked the wrong option once and ticked the box to repeat the action every time afterwards.
Whatever program you use to download the pics should have options somewhere, either during the process or somewhere in the dropdown menus. If you'd said what you were using I might have been able to help more.