Thunderbird internally does mark them as read, it's just that the server ignores that.
With POP3, there is no way to tell the server about local state (read/deleted/etc). It can only go in a single direction - from server to your computer. So the server can't even know.
Basically, everything POP3 can do is: get number of messages; get a list of message sizes; download a message; delete a message from server.
(Some POP3 servers do mark messages as read server-side once you download them over POP3, but this is not very reliable, and many dislike it.)
IMAP4 (the one you use with Gmail) can do much more - folders, downloading headers only, search, sometimes even shared inboxes.
2What protocol you using? POP3 or IMAP? – MicTech – 2009-08-02T15:12:07.063
POP3 for Hotmail (the only one avilable), IMAP for Gmail. – Javier – 2009-08-02T17:07:11.067