If you don't already have an email program like Outlook then download the free email client/app Thunderbird. It will auto configure for VM mail when you run it. Make sure that when you are asked to chose you select IMAP as the option for incoming mail. Click on the IMAP subscriptions button in web mail and select the folders you want to download.
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Relying on an IMAP email client to “hang onto” emails is a mistake; any detrimental change on the server will be reflected to IMAP clients when they next synchronise with the server. Copy important emails to local folders and make sure to include them in your backup scheme.
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