You can save your mail folders by going to Folders and selecting the folder to save. Then select Choose Action and chose Download Folders and select OK when warned that all the messages will be saved in on file. Then Click OK to Save to Disk. Confirm the location you are saving this file to.

You will be able to open this file in any text editor, such as Notepad, Word, Wordpad. All of your messages are concatenated into one file.