In the message app, click the blackberry button and scroll down to options, towards the end there should be an option that says keep messages for: and it'll be set to however long, click that and go to keep forever.
Are you using POP3 email? If so, do you have the messages left on the server? If you do not leave the messages on the server and are using a desktop email client, as soon as your desktop client downloads the new emails, they are deleted from the server (and therefore from BIS).
