My school uses outlook exchange and only allows for 200MB of storage space on the server which sucks big time. So, instead of using their space, I chose to download all my mail directly onto my PC.
The way to do this to create a personal folders (.pst) file under Tools -> account settings. Once you do that, set it as the default folder. You will get a pop-up window saying “… it’s not recommended to download… yada yada yada … “. Just accept it and restart outlook. From now onwards, any message you get will be downloaded directly to your PC. The screenie below shows how your account settings should look like: