Hmm not having much luck finding details on the advanced settings..
in Thunderbird you go to the email account details and where it asks about downloading messages automatically you unclick that.
I think OE is similar. I forgot that I removed it from my computer last time I was cleaning up the hard drive..

But I did remember that there are programs to help with just this sort of problem..
I haven't used it but have heard good things about it by some that use it.

[MailWasher is a program to help you get rid of spam and viruses in your e-mail. MailWasher allows you to preview all aspects of your e-mail on the server before you download it to your computer, thus protecting you from spam, viruses, phishing attacks, and other nuisances.
You can then delete unwanted e-mail before it gets to you. Other features help identify and protect you against viruses and worms. Included are comprehensive antispam tools and many other features. Free version supports single e-mail account, and has no auto delete feature, recycle bin and no user support.]
http://download.cnet.com/MailWasher-...html?tag=mncol

and another with good user rating-

[Email Remover is an anti spam software that allows you to view your emails from POP3 server by showing you headers. You can remove them in seconds without downloading it if you receive unwanted mail like huge attachments or spam. The program has the following useful features: preview headers and entire message; save message and attachment; handle multiple accounts; launch external email program.

CNET Editor's Note: You need to visit the developer site to get the free key.]
http://download.cnet.com/Email-Remov...html?tag=mncol