The Internet uses two common email protocols, the older Post Office Protocol (POP) and the newer Internet Messaging Access Protocol (IMAP). POP simply downloads the new mail to your local mail client software, and--unless you've told it otherwise--deletes it from the server. IMAP syncs your mail client with the server, changing each of them to match the other.
IMAP is clearly the superior technology. If you try to access your email via POP from multiple computers and devices, you're going to have a mess. With IMAP, you'll have no problem. Your inbox, outbox, and all your other mailboxes will be identical everywhere you check them.
That's probably why Windows 8's bundled mail program doesn't support POP. The new Windows is designed for a mobile world, where most people use multiple devices to check their mail.
So what can you do about it if you're stuck with POP? My first recommendation is to eschew Windows 8, but it may be a little late for you to take that advice.
But just because you're stuck with Windows 8 doesn't mean you have to use their mail client. You can install another one. Just about any other mail client currently available supports POP.