If I understand well the a@mail.dk, b@mail.dk is only aliases for only one existing mailbox. In this case you can use a mail filtering function in Pegasus Mail. You find it in Tools/Mail filtering rules/Create-edit POP3 rule set. There you can create rule for filtering mail in POP3 server. In first step you must create new entry by button New and then you can open it and add new rules in your case it will be rule for header of mail.

I have 4 users who have their own PC's but sharing the same POP3 account on a server. They have their own mail adresses, lets say a@mail.dk, b@mail.dk, c@mail.dk and e@mail.dk. How can I make a filtering so for example, when person a checks mail on his pc, he shall have it  if a@mail.dk is in the To adress? When person b checks mail on his pc, he shall have it if b@mail.dk is in the To adress, etc. for person c and d? Any help is appreciated. Thank you.