If you're on Windows Live Hotmail, unfortunately you won't be able to back up your email files to a hard disk. That feature isn't available, although I'm told it's potentially in the works. But that doesn't matter.
What does matter is that you can sync your Hotmail account to the Windows Mail client (http://download.live.com/wlmail)
and then from Windows Mail click file > export > messages.
Windows Outreach Team