I am afraid that if i do that, my work can still have access to my personal emails? and they will see if I send or receive emails.
Yes. They should be able to access your emails by going to \\hostname\C$\Documents and Settings\Alex\Local Settings\Application Data\Microsoft\Outlook\YourPersonalEmails.pst and going through the personal store table.
If they're doing their bit then they probably have blocked the POP/SMTP and IMAP ports for workstations.
What's wrong with doing work at work?
EDIT: If you're going to go through with it, make sure you don't create the POP/IMAP account and specify the Exchange Inbox as the delivery location. Make a new PST.