Windows Live Mail

I am using Microsoft Live Mail to aggregate emails from two Comcast email accounts.  It successfully imports the email from both; but only from the "inbox"   How can I import the others emails in those accounts, which are in other folders & sub-folders?

 I found the "Download all folders" option by righ-clicking on the account name (which leads me to believe the capability exists in WLM); but it is grayed-out  ...