Incoming mail, I am not happy

I just downloaded this software. It downloaded all the emails that I still had on the server. This one particular email arrived that I didn’t want. I highlighted it and pressed delete on my keyboard. It deleted everything in my inbox plus everything on the server. I am not happy; what do I do now? Also, in Outlook, the data is kept in a file with extension .pft or IMAP. Where is the data kept in eM Client?