Up until Windows Live Mail, the answer was always no.

In packages such as Outlook, Outlook Express and Thunderbird you can delete an email account and not lose email messages. Windows Live Mail is different and if you delete the email account you also permantely delete all email messages in the account.

If you are using Windows live mail and want to save email messages, you need to move the email to a folder that is not part of the email account you are deleting. We do not know of a way to avoid this problem in Windows Live Mail. Just be clear, we are talking about deleting an email account on your PC, not the email account we create on our servers. Your PC will be configured to download messages into the local mailbox on your PC.