Yea, I think there is a way to change the place Outlook Express saves it's local e-mail.
Under the drop down tools / options
On the Maintainance tab there is a button to change the location of the store folder.
I suggest manually backing up this folder before you try to change anything. I tried this once, but I don't bother doing it anymore. I think I had some trouble getting things to work the first time.
I use Hotmail and the IMAP e-mail from work. Neither one pushes e-mail to my local system. I have lost allot of stuff because I forgot to save the messages that my ISP e-mail had pushed to my system. They do that to save space on their server.
I have my system set up so that I don't have to save anything except my Outlook Express address book before I reload a Ghost image. I used Tweak UI to change the location of other folders so that everything I need to save is on a seperate drive. Tweak UI may be usefull to you as well. It can be found at Microsoft.