Thunderbird supports two basic types of email for collecting your incoming email - POP and IMAP
POP (stands for "Post Office Protocol")
POP is an older protocol and has been used in various forms for many years. Usually it moves the messages from the inbox on the server down to your computer - note that POP doesn't "know" about any other folders on the server. Moving messages in this way is fine if you only ever use one computer and all your email is looked at in the same place. Other folders in your email account are all stored on your computer and managed by your email client. Once a message has been moved from the server to your computer, it is no longer available to any other computers or smartphones that you might use to read your email.
If you have a need to be able to read your email on more than one computer, then most email clients can be set to leave a copy on the server.
In Thunderbird, this setting is found here:
Tools|Account Settings|<select account>|Server Settings→Server Settings→Leave messages on server
A difficulty here is that if all of your email clients are set to leave a copy on the server, it's not clear when a message should be deleted, and there's a risk that such messages will accumulate. It would be prudent to visit your website via Webmail from time to time to clean things out.
IMAP (stands for “Internet Message Access Protocol”)
IMAP simply makes a temporary local copy on your computer, but leaves the messages on the server, so they remain accessible for other computers to see them. This is ideal if you have several computers, or a smartphone, so you are able to see any of your messages on any of your devices. In fact this idea extends to all of your folders in that account - Sent, Drafts, Deleted can all be stored on the server too. Your email client shows you what is on the IMAP server, so if you delete a message, you are telling the server to delete it, and it will accordingly vanish in your email client too. If you wish to delete a message from the server but keep a copy, then Thunderbird provides Local Folders - email folders which are on your computer's hard disk. Moving (rather than copying) messages to your Local Folders will usually remove them from the server.
Be aware that with IMAP your messages are stored, by default, on the server, and will mount up if you do not routinely clear things up. Unfortunately, many email providers do not offer sufficient storage space for you to allow this to build up for very long. so it is in your interests to manage the volume stored on the server. When your allocated space is full, incoming messages will be refused and you will miss these messages.
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