Hrm... I THINK the OP was asking how to backup his "SMS" messages with Microsoft MyPhone, but he cannot do so because of limitations in India.
If that is correct, I would suggest trying to backup using a WiFi network. If you are still unable to do so and would like to backup your messages another way, you can use PIM Backup (gives you the option to backup messages, appointments, contacts, and more)
http://www.dotfred.net/
You can then copy the backup file to your desktop in case you need it again.