If you only have a few emails, you can manually save or move them through an email client configured with your Yandex Mail account. However, this can become difficult when you have thousands of emails or multiple folders.

For a larger mailbox, using a dedicated email migration tool is more convenient to export Yandex Mail to PST  file. Advik Yandex Backup Tool can export emails from a Yandex Mail account directly into PST format. It can also maintain the mailbox folder structure and preserve email attachments during the conversion.

The basic process is to add your Yandex Mail account, select the folders you want to export, choose PST as the output format, and start the conversion. The resulting PST file can then be opened or imported into Outlook.

Before converting the complete mailbox, I would recommend using the demo version first to verify that the required emails and folders are exported correctly.