Usually, an e-mail client such as Microsoft Outlook will receive messages via IMAP4 and send messages via SMTP.
I am unaware of many mail servers that automatically save mail sent through them via SMTP in the server-based Sent folder besides Gmail/Google Apps.
Typically though, once an IMAP4 connection (as opposed to POP3) to the mail server is created for the receipt of incoming mail, one can set the e-mail client to copy sent messages to an IMAP folder. Alternatively, sometimes an automatic BCC can be set up from the e-mail client.
Copying outbound messages to an IMAP folder would cause the synchronization of the local IMAP folder with the mail server and therefore provide a similar effect to the functionality of Gmail/Google Apps. However, in this case, each message sent via SMTP is transferred to the mail server twice:
1) The sending via SMTP.
2) The synchronization between local folder storage in the client and the corresponding folder on the mail server.
See: http://en.wikipedia.org/wiki/Internet_Message_Access_Protocol#Disadvantages