sopham,
Are you referring to the archiving feature built into Outlook? if so then the answer is yes, this does remove the messages from the server.
If on the other hand you are referring to using a tool like Exmerge to create a PST, then you have the option of either making an exported copy or removing the data from the info store while making an external file.
I hope you find this post helpful. Please let me know if it was.
Regards,
Mark