Best way to do that would be to configure your email client on your PC, and on the phone to connect to your inbox via IMAP. That way they stay on the server (including your own folders) and each device would have the same emails.
Or you could tell the email clients when configured via POP to leave messages on the server.
Another thing you could do is setup a gmail address to collect mail from the Sky POP server and use the Gmail app for emails.
Leave emails on the server is a client setting. So you need to set it on the email client on your phone (sounds like you've done that) and then also set it on the email client on your pc.
I'm using Sky email on my Desire. Log into your Sky email online and go to Mail Settings > Forwarding and POP/IMAP. Here you can enable IMAP and also if you are using POP, tell it to leave a copy in Sky's mail box.
I use IMAP on my Desire and works a treat. Easier then messing about with POP.