Considering no email server will send you an email as a file your question doesn't really make any sense.
You have to download the email as any IMAP or SMTP client would and then take that information and build an EML file yourself.
The code you have doesn't build a real EML file. You have to take the information in the MailMessage object and write the RFC 822 file format yourself. You can read up on the format
here[
^].