I am assuming you are talking about a work machine using Exchange as your mail server.
You can change your default delivery location to a pst file on your local machine. Click Options, Email Accounts. View/Edit Accounts. Select your mail account, and down at the bottom left of the screen is a drop down that says "deliver new email to the following location". If a PST file is not listed there, you can create a new pst file.
This should then store any new messages in your pst file instead of your mailbox on the exchange server. Down side to this is that if your system goes down, you loose your mail unless you make regular backups of it.
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