I have a Mail Plus account, so I don't know if this works with the regular (free) accounts.

- Select Mail Options
- Under Management, select "Archive Messages" (You can specify a date range or select ALL
- Mail will build a message archive and let you know how big the file is
- Download the archive. It's a ZIP file that you can uncompress and read in Outlook Express

Again, YMMV if you have a free account.