Don't use it myself, but is there an option to "save" the messages, and if so there should be a destination. Web based mail is not stored on the hard drive like Outlook or Outlook Express, or any other POP email like Thunderbird, Incredimail, etc. So the third answer should be no.
I HAVE MSN WEB BASED EMAIL AND AM ASKING HOW TO TRANSFER MESSAGES TO A FLASH DRIVE ALSO DO THE WEB BASED EMAIL FILES GET STORED ON MY "C" DRIVE TOO? AND IS THAT CONTRIBUTING TO MY "SPACE LOSS PROBLEM" ANY HELP PLEASE????