Method 1: This method will back up all your MSN e-mail to your My Documents folder.
Sign in to MSN with the account that has the e-mail you want to back up.
On the Help & Settings menu, click Settings.
Click Change your E-mail Settings.
Click Import or Export e-mail, copy e-mail, or import contacts.
Click Copy E-mail, then click Next.
Select Save your MSN e-mail stored on this computer.
The Save As dialog box will show a default location of:
C:\Documents and Settings\ [user name] \My Documents.
This is where your e-mail will be saved; don’t change this location. Click Next, then click Done.
Method 2: This method will let you select the e-mail messages you want to back up to a new folder on your desktop.
Right-click your desktop, click New, then click Folder.
In the text box, type Saved E-mail to name the new folder.
Sign in to MSN with the account that has the e-mail you want to back up. If you can’t get online, select the Work Offline option before you sign in.
Click the Mail & More button.
Resize the MSN window so that you can see the Saved E-mail folder on the desktop.
Select the check box next to each message that you want to save, and then drag the messages to the Saved E-mail folder on your desktop.