First of all, thanks..

I tried Foxmail, as BMW325I suggested. As (s)he said, the hotmail proxy is very unstable. In fact, I can never make it work.

傻大姐 suggested MrPostman. Outlook Express actually provides the same feature (receiving hotmails) and I know how to use it.

The problem is how to backup the emails I download to my local driver such that if I format and reinstall my system, I can still bring all these emails back. I check the Outlook Express installation directory (usually C:\Program Files\Outlook Express), none of the file seems like a backup file for the emails. Anybody knows about this? Also, does Outlook provide more advanced feature to let us achieve the goal?

Thanks for all the replies in advanced.