If, when u say msn u mean hotmail:
All messages are stored on there server. To keep your account open you have to log into the account at least every 30 days otherwise it will be deleted.
To save your messages i would use Outlook Express. In it go to tools>accounts and then add a mail account. Then simply put in your name, then put in the email address and then the password and your done. Then when your in the inbox for Hotmail go to file> export> messages. This should then save the emails as formats recognised by Outlook. Then if you happen to lose them just simply goto file> import> messages and reverse the process. T.