If your company has an employee manual, it probably has a section on email policy. That section will usually say that employees have no expectation of privacy for communications sent from your workplace server. While this does not automatically mean that your employer can read all of your emails, it is a big step in that direction.
Examine The Content Of The Email
If the employer would have a legitimate business interest in knowing the content of the email (say it was sent to the company's competitor for example) then it is more likely that the company would be allowed to look at that email. Are you communicating with your attorney? Then that might be protected under an attorney-client privilege.
What If The Company Has No Email Policy?
Even if your employer doesn't have an email policy, it likely has the legal right to read messages sent using its equipment and network. You should examine whether the company has different servers for use of internal emails and private emails. If it has set up a system whereby certain emails are designated as confidential, then you can more strongly argue that you had an expectation of privacy if you used that server.
Can The Company Keep My Emails?
Generally, yes. Many companies have back-up systems that keep "deleted" emails. Remember, more and more companies involved in litigation are required to turn over these communications in the discovery phase so they keep them on file for that reason. Don't believe that the email completely disappears when you hit the "delete" button.
How Can I Protect My Emails?
The best way is to send them from an independent server - your blackberry device or your PDA or phone. If you cannot do that, then do not send an email that you would not want your employer to read. If you keep your personal messages on the brief side (and don't constantly complain about your supervisor or work situation) most employers won't care that you occasionally send out a personal email. Its like the personal phone call. Everyone gets them at work, its the folks who abuse the privilege that get into trouble for it.
The law is very unsettled on this topic. Some states have not addressed the issue at all and other states that have addressed it have not reached a definitive answer as to whether an employer can read all of an employee's emails sent from the work computer. I would suggest that you err on the side of caution and act as if a court WOULD allow your employer to read your emails even if they are sent on a private email account, like Yahoo or gmail, etc.