With thanks to Steven at Winextra. Trialling this now but it looks useful.
Unzip and run, no install required.
"One of my major complaints when it comes to things like Windows Live Mail and other programs in the Live family of applications is that Microsoft provided no way to create backups of their data. This is especially problematic when it comes to the email client – Windows Live Mail."
"With MailBrowserBackup 0.2 you can create complete backups of Mozilla Firefox, Flock, Windows Mail, Windows Live Mail, Windows Live Messenger, Windows Live Messenger Plus!, Internet Explorer (Favorities ONLY), Outlook 2003/2007, Windows Contacts, Windows Calendar, Mozilla Thunderbird, Opera (browser profile and mails), Apple Safari, Google Chrome, SRWare Iron, FileZilla FTP Client, Notepad++, Pidgin."
http://alancla.110mb.com/mailbrowserbackup/