Well, you can setup your Hotmail account to use OE, then just make local folders in OE to move it to ?
If you aren't already using OE for another email account, then the wizard will get you setup just fine (it should pop up if you don't have any accounts setup)
If you already are, I would suggest you create a new Identity and add your hotmail account to it.
[*]Go to file -> identity -> Add New Identity - any name will do and hit ok, then close the manage identities box.
[*]Now, in the folder bar on the left, click the very top "Outlook Express" -> now on right side, in orange click on Identities \/ Switch Identities. Select your new hotmail identity and click ok. OE will close and re-open.
[*]Once re-opened as the hotmail identity go to tools -> accounts click on the "add" button in the right column and select "mail" - this will open the wizard to add your hotmail account.
In OE there will be a box called Local Folders, make a new folder(s) and move the emails you wish to save into them.
Then you can change the directory they are saved in to somewhere other than the default.
go to tools -> options, click on the maintenance tab and click the store folder button. In the box that opens click change and browse to the dir you want to store the emails in. Click ok. I think it will restart OE or ask you to. If it doesn't I'd suggest after making that change to close & re-open OE.
That should do it, you can always check your email from OE, which is the advantage here. If you don't really do that, then maybe once you've added your account, you can actually just drag all the emails into a directory, then you can easily read them, because all you need is OE, which is installed with windows