The best way to save Yahoo! Mail messages on your computer is to download ("POP") them into an email client like Outlook, Outlook Express, Thunderbird, etc.

Here's how:

1. Move the messages you want to archive into your Yahoo! Mail inbox (if they're not already there).
2. Configure your email client to access Yahoo! Mail via POP. Very important step: Make sure your email client is configured to “Leave messages on the server”, so you actually keep all the original messages in Yahoo! Mail while downloading a copy in your email client.
3. Download the messages by triggering "receive messages" in your email client.

Note: Only your Inbox will be POP'ed. Messages in other folders will not be downloaded. This process downloads your entire Yahoo! Mail Inbox, with no limit on number of messages.