HELP!!! I need to re-create an archive using the thunderbird program!

In my line of work, I am not allowed to keep the work documents saved in any computers, only in thumbdrives/external drives. My thumbdrive disappeared, and I hooked up the harddrive- nothing! According to the geek squad- irreparable. I asked my bro about anything that could help me, and he suggested Thunderbird. I stumbled my way through installing it to my new thumbdrives and my email accounts are downloading now.

Please, please... can anyone tell me how to command this program to download all the attachments into another file in my thumbdrive?