Windows Live Mail: Backup and Restore Question

I plan on formatting and reinstalling W7 this weekend. Important to me is that my emails aren't lost in the process. It's probably an easy process, but no one has ever accused me of being a wise techie.
I found this thread: Windows Live Mail - Export and Import Email Accounts
Makes the process seem quite easy. I'm confused as to whether or not this will back up all the messages in my accounts, or if this is just for backing up the account settings?
Appreciate the help. Thank you!

The great thing about Windows Live Mail is its actually a decent web based, client-side application (kind of like a widget) - last time your computer crashed and you lost all your contacts and stored mail on outlook? Oops...

With Live Mail, no worries with local back ups so yes, all of your email, contacts and folder settings will be waiting for you - all you have to do enter your account info and viola... As you may or may not have noticed, your email client also dynamically updates whether you make edits to your account via phone, live mail browser (hotmail) or live mail client application. What's also nice is the backward compatibly since iOS5 update - no more having to painfully update phone contacts manually or via iCloud.

The main thing to note is that the more mail you have in your boxes, the longer it takes to sync. Other than that, your specific concern is specially why I dropped Outlook for Live Mail long ago - the only thing I didn't like was how WLM 2011 handled attachments and skydrive association (prefer dropbox) but 2012 seems to have taken care of that.

This place is a treasure trove of information! Great stuff! Thank you.
One more question: in addtion to the various email accounts I have in WLM, I have also created a folder for some specific emails I keep organized. Will this folder be backed up, too, when I backup the other messages?

Yes these emails and the folder structure you created them in will be reconstructed when you add your account in live mail. Windows did a really great job on this one, iTunes could take some notes

The passwords dont get transferred do they?