Download Email Folders from Webmail

My hard drive recently crashed and I had to get a new one.  I've been using Microsoft Outlook as my local mail client.

I reinstalled MS Office (including Outlook) and connected to Cox. I am able to receive and send messages, but all my local email folders are gone.

If I log into Cox Webmail, I can see all my folders and the messages in them.  My question is, how can I download all of these folders to my local Outlook?

Thanks.