Is it possible to set up PM folders?

Hi all:

 

I accidentally deleted by PM Inbox (:smileyfrustrated:) and wanted to ask if there is a method to set up permanent folders or backup the PM's to a file, so they are not lost in the future. Same for Sent if possible.

 

Please let me know... :smileysad:

 

Thanks,

 

Atomic_Blast :)