First everything will be download to your Webmail - Hotmail inbox 

Then you need to set-up the following two things:

1) A folder for the saved messages to put into. ie Hotmail Saved Messages

2) A filter keying on the x-folder name. You get this info by viewing your 
messages source. Here mime is "Saved Messages" and tell the filter it where 
to move the messages to.

This would be same for any of your folders on the Hotmail web-mail site.
 

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