Welcome to the forums (though I think we chatted the other day),
Zimbra Desktop already saves your mail locally. Examine your zdesktop 'store' directory (drive:\zimbra\zdesktop\store\ or ~/zimbra/zdesktop/store) they're individual files indexed by a
Derby database.
If you want to move (but avoid resync - like you have a slow bandwidth & large mailbox) you can technically install the same Zimbra Desktop version on another machine, then swap out a the entire zdesktop folder with your good copy.
If you mean archive, where mail is no longer on the server, you want to vote for this RFE:
Bug 16472 - Support for local folders when syncing with Zimbra Server