I have no experience of hotmail but clients on your PC can be set to archive or delete when they get old. Might be worth checking any settings you have on your e-mail.
I'd be surprised if you couuld not download to your PC or drive of your choice, but again, I have not the experience you need. I'd suspect Hotmail has a manual telling you how to set up a client on your PC to automatically download e-mails. And then you can set your client up to store them int he file of your choice in the location of your choice.