You can see your Windows Mail emails in your Mail inbox and other folders, but these messages are also located elsewhere on your drive. It's not immediately obvious where the folder is where Windows Mail stores its folders and messages. However, it's not hard to find if you're using the POP3 protocol. Once you've located the folder, you can back up your email.
How to open the Junk or Spam folder in the left pane of the Windows Mail app
The Windows Mail Store folder can only be found if you are using POP3 with Windows Mail. POP3 is designed to store .eml files on your computer. If you are using IMAP with Windows Mail, mail is not downloaded and stored as .eml files, so you cannot back up email this way.
To find the Windows Mail archive folder:
In Windows Mail, select Tools > Options from the menu.