If you use a third-party email program (Thunderbird, Outlook, etc.) you can retrieve all of your messages in that, and save them locally on your machine. Yahoo! mail used to have an archive feature, but that was disabled about ten years ago. Just know that the format of your messages will not make them easy to read without using a mail program - in the case of Thunderbird, each ‘folder’ (such as the inbox) is saved as a single file, with all of the messages running together. The file CAN be read with a text reader, however.