Unable to copy Hotmail folder to flash drive

I have several folders on the left panel of my Hotmail screen where I've stored hundreds of messages from at least three years ago. I want to copy whole folders complete with their contents to a flash drive. I cannot do that. When I try to "export," my only choices are "favorites," "feeds," and "cookies." There's no choice to select a personal folder and copy it with its contents to my USB flash drive. I do not use Outlook Express, nor have I ever used it. It was bad enough with IE 7; now that I've downloaded IE 8, it's totally impossible. I need to get these folders off my hard drive and onto a storage drive, both for privacy and to clear up disk space. Can anyone help?