I'm assuming this is for Windows XP since your using an outdated email platform :0003:0003:0003
File
Export
messages
windows mail
tell it where to backup
select the folders you want to back up
save
By doing this you could reload all of your email back in to windows mail
Make sure you don't keep these emails on the same computer since your biggest threat to email loss is total computer annihilation by fire or porn. Put them on a flash drive, cloud drive or external hard drive
Here is a step by step for this -
http://www.howtogeek.com/howto/4905/backup-windows-mail-messages-and-contacts-in-vista/
Going forward
You could create a yahoo or gmail account like Scraptastic said and then create a rule in Windows mail that has every incoming email forwarded to the other account - You can also create a rule that allows you to bcc yourself on sent mail and you can change the default email address to the gmail or yahoo account
I bet
BackupMJemails@gmail.com is available but will be gone in 24 hours