I believe this may be a client-side option that some POP3 clients support. There's nothing in Exchange per se that enables this. I'd look at whatever client you're using against Exchange to see if it supports that functionality. I am pretty sure you can't do this from the Exchange server side of things.
MEMBER FEEDBACK TO THIS ASK THE EXPERT Q&A:
I believe this is an Exchange bug that goes back to Exchange Server 2000: XCON: Messages are marked as read after you download headers."
I do not know if there is a fix for Exchange 2003, but I don't think this has anything to do with the client-side. The POP client can't set read marks (not in the POP protocol definition).
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