With most email accounts setup in Windows Mail (WM), you can set WM to leave messages on the server. I do not know whether this will also work with hotmail since I've never configured a hotmail account to be downloaded to an email client such as Outlook Express or WM. So, I suggest you try it and see.
Rather than leave messages on the server, I would backup my email messages on an external hard drive, CD/DVD, etc. But, that's just my preference.