I'll try to help.

METHOD 1:
Instead of copying dragging and all of that. SImply right click the email message you want to back up, and select "COPY TO FOLDER..."

Then select the new folder you made. That works perfectly for me.

You can do them in batches too. Simply click on a message, then hold CTRL and click on another and another and another. Then right click and select "COPY TO FOLDER".

METHOD 2:

You can create a new folder on your DESKTOP. (right click your desktop, then click new, then click folder). Then name it something.

Then open outlook express. FInd your messages. Then "REDUCE DOWN" the outlook express window.

You should now see outlook in "WINDOWED MODE" and part of your desktop.

Click on one of your hotmail messages, and click and drag it to your new folder on the desktop. That works perfectly for me. I can show images if necessary of this method.