What type of account? For POP3 accounts it does by default; for IMAP it downloads only the headers until you select a message to read - but defaults can be changed. You can set it as to whether or not it retains the body of the message when you shut it down (so it doesn't have to fetch them again if you want to reread them - or so you can reread them even if you're not connected to a network) and as to whether it fetches only headers or the full message, and so on - when you go to account properties there are a variety of options on the "Incoming" tab.