Yes, but it's not as easy as with Outrook.
You should find a folder on your machine at
C : \Documents and Settings\YOUR_NAME\Application Data\Mozilla\Profiles\default\SOMETHINGMEANINGLESS.slt\NAME\ Mail\
which is full of folders with names like mail.you.co.uk
(The odd spaces in that file address are to stop it appearing as a smilie - there are no spaces between C and : and : and \ )
Browsing around there will find files with no suffix to the filename, and others with .msf extensions. One is the text, the other the clever stuff.
If you can't find them that way, go to Thunderbird, click on the Account Name (eg Main) and select Server Settings. At the bottom there is a greyed-out box called "Local Directory" which tells you where that account keeps its mail.
If you have several accounts, repeat for each.
I cheated - I changed the mail folder to I: \MAIL so that I could find stuff and back up quickly, but changing it isn't for the faint hearted.