First, the AOL client is proprietary. Second, many clients will allow you
to do as you have suggested. However, that often only designates a primary
location for the mail folder that may keep the e-mail messages locked within
another type of file. Hence, you don't see the individual messages in the
designated folder in Explorer, you only see them in folders in your client.
In the designated folder, you see a file in which the messages are kept.
For example, in Outlook Express, the individual messages are in a "DBX"
file. If you view the folder in which these files are stored in Windows
Explorer, you don't see the individual messages, you see the DBX file.
If this is different with AOL, I'm unaware of it. The "file store" may be
different but I don't believe you can see the messages, individually
selectable in Windows Explorer using AOL and it was my impression that was
what the original post was trying to accomplish.