You'll be using activesync or IMAP, which does do that, EB.
the OP sounds like they are using pop3 for their mails, which downloads a copy of the mail onto each device, so if you delete it only the local copy on the device being worked on is deleted.
To get them to be deleted on both devices automatically matmanta will need to change the mail setup on both devices to use IMAP or activesync (activesync is for exchange servers only)... then instead of having 2 copies of the mail, one on each device, there is only one copy on the server which both devices are looking at.