Log in with any FTP/SCP client to your account. If you want to archive all your mail, download the Maildir directory.

If you want to archive only a specific folder with e-mail, enter the Maildir directory and download the correct folder, e.g. .Private.
Names with mail folders in the Maildir directory begin with a period.

If you want to archive only the inbox (INBOX), enter the Maildir directory and download the cur and new directories.