Why should you do this? Because free e-mail does not come with back-up support. If something does go wrong and your e-mail disappears, you have no recourse at all unless you have already made your own copy.
The easiest way to back-up your e-mail is by using something called Post Office Protocol (Pop). All the methods I am going to show you use Pop, or something very like it.
Pop enables you to receive e-mail on the software of your choice, rather than always logging into the web. And once it is in that software, you have got a copy of it.
There is a whole range of options and you are probably using one of them already.
You can have webmail available in Thunderbird, the open source mail software, or perhaps within Apple Mail, and you can even get Google Mail on a blackberry.
Let us start at the business end with Outlook users.
Microsoft have recently released the Outlook Connector, which allows you to get your Hotmail within the full version of Outlook, but not Outlook Express.
With the connector installed, you can access all your Hotmail in the normal way, and crucially, you can back it up like any other piece of Outlook mail.
Hotmail has gone through an on-off attitude to Pop. First it was only available on trial through Outlook Express, then only if you paid. Now it is sort of half-on.
It is not full Pop access, but it does allow you to download your mail and save it offline, and that is the point of this exercise.
The change, and why Hotmail has come back into favour with me, is the release of the replacement for Outlook Express, Windows Live Mail.
It is part of a new range of web services from Microsoft, released to compete with Google.
I would stick with just Mail and Messenger for now, and here is how you install it
If you have used Outlook Express, it is very, very similar. Except now, if you give it your Hotmail login and password, all your web e-mail is available on the desktop.
The best thing about that, is that you can save the messages you want onto your hard disc, just by dragging them out of the mail window and into a folder.
Backing up e-mail in Yahoo mail is simple, but it is not free. Access to Pop e-mail is only available for Yahoo users who upgrade to Mail Plus.
It is $20 (£10) a year and gives you extra features, like larger storage and no adverts.
With both of its main rivals offering free Pop access, look out for this to change in the future.
Google Mail's had Pop access since it started, and it is free. This means you can even access your e-mail from Windows Live Mail if you want. You need to turn it on first, choose Settings, Pop and Turn on. It is a piece of cake.
The last thing you will have to do is configure your e-mail software. To do this, you will need a few settings which the webmail provider will give you.
So there you have it. If you have had a Hotmail account for a long time, now is the time to install Windows Live Mail and make those back-ups. If you are with Yahoo, you will have to pay for now, or laboriously forward all your e-mail to another address.
Remember the time to make back-ups is before you need them. Which means doing it now.
Do not forget, most webmail has an expiry period. If you do not log in after a certain time, you will lose everything.
When it comes to backing up, there are only two types of people: those that have lost data, and those that will.