Windows Live Mail supports Storage Folders, which are useful to archive away or classify emails across a number of accounts. Regretfully, by default it is not shown. The procedure below will work with the newer Windows Live Mail v.12, which supports ribbon menus a la MS Office 2007.

Look for the View tab, on top of the ribbon, and select (click) it.
Once opened, look for the Layout section.
In that section, in the upper right side, look for the text Storage Folders, and click on it if need be to enable it.
The Storage Folders section should now appear in the left pane of the main window.

Sorry, this is not a tutorial on the parts of a ribbon menu; I've picked up their names here and there through the years.

A few additional notes:

I have used the Mail app in Windows 8; after using Outlook Express and then Window Live Mail, it feels like a cheap piece of junk. I stopped using it and deleted the email accounts I configured there.

In my opinion, one killer feature of Windows Live Mail is that Storage Folders are mapped into REAL Folders in the hard disk. Likewise, each email message is saved as an .eml file, and its contents can be read with a simple editor like Notepad. This means that you no longer have to deal with some proprietary format such as .edb or .ost or .pst, as with MS Outlook. It also means that if one of those files gets corrupted, only one e-mail is affected, instead of the whole message store. And, finally, to migrate a WLMail store, it is enough to make sure WLMail is not running in your source system, then simply copy the folder holding your message store (path is stored at File - Options - Mail ... - Advanced tab - Maintenance button - Store Folder button)

The caveat here is that emails formatted as web pages will have HTML sections in it, like a web page when looking at the source. Likewise, instead of images, you have any number of encodings, like Base64, that save their binary contents into a printable/readable format in which each character represents, say, 6 bits of the original image. But any text in your email will still be visible, and .eml files can be read and interpreted individually with an appropriate client.