Yes, you can !

There are several ways you can do this,

One way is to download the NEW Windows Live Mail. This is a full featured email client, i.e. you can use the software provided to retrieve emails from other POP3 or HTTP emails such as Yahoo/GMail.

Download here, http://get.live.com/wlmail/overview

The Second Way to download your eMail is via MS Outlook.

You can download this connector here, http://www.microsoft.com/downloads/details.aspx?familyid=7aad7e6a-931e-438a-950c-5e9ea66322d4&displaylang=en#QuickInfoContainer