I would not recommend loading the files into a proprietary format like an Outlook PST file.
The zip file I suggested could be downloaded has individual files in an EML format. These can be opened in many different ways (for instance, Windows Live Mail or Outlook Express). I find this convenient when I want to send an archive of emails to someone else.
For personal backup/archive of emails, I use an old program called IMAPsize. This can download and store files as either EML or MBX (another common format).
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