Dear Tezdread,
One way to do this is upgrade to Office XP or Outlook 2002, this has built in Hotmail support similiar to that of Outlook Express.
Otherwise, you can do what I used to do is download via Outlook Express and import the messages to Microsoft Outlook. However, there appears to be a bug that you loose access to the smtp address, i.e. in that you cannot access the senders address to reply back too. wierd!
The work around I did was to embed the messages in Outlook express and send them to an account that my Outlook picks up and drag the embedded messages to my inbox to keep the smtp addresses live. A lot of work, but I got used to it, but no longer with Outlook 2002.
Kind regards
Paul Thomspson (MCSE)