Purging is the removal of old messages from folders automatically. They are initially placed into the Deleted Items system folder, so are still available if required. The Deleted Items folder itself can also be purged, after which any messages purged are completely destroyed and are no longer accessible.
The age of messages to be purged can be set, and purging carried out automatically or manually. Manual purging is accessed from Utilities 
Perform Mail Purge
General Purge Settings for a user can be set from Configure Preferences Purging - for more details see here.
However, individual folders can be set to purge differently, regardless of the general settings. For more details see the page on Folder Properties
Also, the Deleted Items folder can be emptied each time MailCOPA is closed down from Configure Preferences General All messages in the folder will be deleted, regardless of their age.
Messages marked as Kept (on the Message Menu or using the HotKey K in the Main Window) will not be purged.