Can I move all my email messages to my hard drive?

I have 1800 messages on Yahoo that I want to save to a memory stick. Do I have to open each one and save it or is there a way to copy the entire message folder?

Can I move all my email messages to my hard drive?
I am pretty sure you can. left click your mouse or rather file and save and you want to save it in your hard drive. Mine is drive C. Try it you have nothing to lose