The easiest way would be to download them all to an email client (Outlook, Live Mail, Thunderbird etc.)
From here you can then easily backup all your emails using a tutorial such as Backup Thunderbird emails & profile (or restore from backup)
(I would recommend Thunderbird for this particular job because, form my own experience it's by far the easiest client to backup manually and restore.
I hope this is helpful.
To back them up from hotmail.com directly is near impossible without saving every single webpage to a flash drive manually.
I hope this is useful.