Do you have a mail account in Thunderbird for that yahoo email address? If no, then create one. If yes, is it Imap or Pop ?

If Imap then you need to set up the 'Synchronisation' in the Account Settings > Synchronisation & Storage for the account. 'Keep messages for this account on this computer' should be checked Also click on 'Advanced' button and make sure all folders are selected. See info: https://support.mozilla.org/en-US/kb/imap-synchronization#w_configuring-synchronization-and-disk-space-usage

If Imap, downloading full copies will create mbox files, but you cannot rely on these being a backup because folders synchronise with server. Imap is really a type of virtual view of the server, so in effect the folders are one and the same. You would need to download full copies. Suggest you go into Offline mode to force this on all folders. Menu icon > File > Offline > Download/Sync now and select Offline after downloading. Then exit Thunderbird. Access Profile In Windows it is usually here:

• C:\Users\<Windows user name>\AppData\Roaming\Thunderbird\Profiles\<Profile name>\ ImapMail\imap account name

Check you have mbox (no extension) files of good size in the imap account name folder. Then create a backup of your Profile by copying the 'Thunderbird' folder to an external storage device of suitable size.

Please note users of Thunderbird email client do not need to download nor purchase any product in order to create and backup emails in mbox or eml format.