Keep mail on Exchng Srvr w/Outlook 2002

With Outlook 2002 on XP-Pro machine, I want the mail msg to stay on Exchange Server instead of on local machine. A message says “If you wish to keep your mail on server, then change the default delivery location using the E-mail Accounts command from the Tools menu”. But Exchange is not a choice, only the local .pst file. How do I create a new delivery loaction for Exchange?