If you have a hotmail paid account, then you can use Outlook express to synchronize and download email folders to your computer.
But if you have a free hotmail account, then you cannot use Outlook express.
You might search for other free POP3 email clients, which allows you to synchronize with your free hotmail account, but I haven't tried them personally because it involves provision of username and password to a third party (POP3 email client) and they cannot be trusted.