You can not do that with the folders in BTMail when using webmail (using a browser) however if you installed an email client such as Bluemail or Thunderbird as an IMAP account, which replicates the folders in your BTMail account you can then use the email client to back up your email folders to your computer.
See links about Bluemail and Thunderbird. It may look a bit involved but it is fairly straight forward if you follow the help pages.
BlueMail Help - Help Center for BlueMail
Thunderbird — Make Email Easier. — Thunderbird
