To the best of my knowledge, Outlook 2007 works in much the same way as Outlook Express, meaning that deleted messages are simply moved to the 'Deleted items' folder. To
permanently delete messages you need to go into 'Deleted items' and delete them again. Alternatively, you can empty the whole of the deleted items folder in one go by right-clicking on it and selecting the option to empty it.
The default option for all email clients is delete POP3 mail from the host server once it's been downloaded to the client (so that it's no longer available to view via web-based access to the account). To change that behaviour, see here:
http://support.tigertech.net/outlook-2007-lmos
However you might also wish to consider changing from POP3 mail to IMAP by changing the incoming server. See here:
http://www.plus.net/support/email/setup/settings.shtml
(That page explains the difference)
Chris