Right, so on your mac you log into Hotmail in Safari and the mails are unread?
This is standard, and there's nothing you can do to change it. Jbuckman is on the right tracks - it's just a limitation of POP3. All that happens is a copy of the mail is sent to your iPhone. What you do on the after that does not sync back up to the Hotmail servers - so reading mails on your phone won't mark them as read in Hotmail, neither will deleting them. Likewise, when sending mail from your iPhone the sent mail won't appear in the "sent mail" folder in Hotmail in the web browser.
If it REALLY bothers you, get a gmail account and have your mail forwarded to it. You can set up custom "sent from" addresses in Gmail so that mail you send from it appears to have been sent from Hotmail and no-one need ever know you have a Gmail account. instructions on forwarding Hotmail to Gmail can be found
HERE
I'll bet tho, that after using gmail for a only a short while, you'll forget about Hotmail and just use Gmail on your phone and on your Mac aswell

It's by FAR superior and far more customisable to tailor for how you want email to work for you