Urgent: Need help with Exchange in Entourage 2008

Hey all,
I'm unable to find an option in Entourage 2008, which allows me to directly save all incoming emails on to my local mac folder. Currently, Entourage downloads the emails from the server but does not delete them from the server; I frequently exceed my mailbox limits. If I manually delete the email from the server, then the same vanishes from Entourage as well. I could not find any suitable options under Preferences or Account Settings. I do not want to manually move my emails to the "On My Computer" folder in Entourage.

Can anyone please guide me on this.
Any help would be much appreciated.

P.S. I'm on MBP(late 2007 edition, Intel); Snow Leopard

Thanks