How to copy Cox email folder to a Apple/MAC pst file/folder

I've read the posts on how to copy and move Cox Email to a Mac, but the directions don't seem to work for me? The first step is to "control/click" on the Cox email folder. For some reason, that combination / function does not work. I am sunk? Chatted 3x 3 different Cox folks and the only solution is to pay for a service in cox to have someone remote in to do it.....IS there a set of instructions to do this? I need to make a pst file of the 200+ emails, copy them, and move them into a folder on my computer. Help?