What version of Outlook? What kind of account (POP, IMAP, HTML, Exchange)?
If it's a standard POP3 account with your ISP then entering your
username/password in the account settings saves them so you aren't prompted
each time you do a send/receive (which would be quite annoying). If you
want this to happen then go into your account settings and delete the
password, and make sure when it prompts you for it during send/receive you
don't tell it to save the password.
However, if security is an issue then this isn't the way to go about locking
down your mail. You can still open your Outlook profile (by default)
without doing a send/receive, which would give anyone opening Outlook access
to all the mail you've already sent or received. The recommended method is
to use the built-in security in 2000/XP/Vista and have different user logon
accounts for the computer and set the rights for each account accordingly.
Joe