on the iPhone it's a push setting, which means that it "bypasses" the email server. what you can try to do is set it to manual, but i don't think you want to do that because if you're expecting an important email from someone and you're on the go, you probably won't get it on time.
I have 3G 3.0 and I cannot see Mail under Settings. I see General then SpringBoard. Where do I find Mail? My problem is when I delete mail using edit the mail that I deleted will show up again even though it was shown as deleted.