If you want to download  newsgroups, but don't want hundreds, or thousands,
of messages, you can create a message rule such as this:

Tools | Message Rules | News.

Box 1: Where the message was sent more than days ago
Box 2: Delete it & Stop processing more rules
Box 3: Click on "Days" and choose the # of days you want.
Name the rule.

In Tools | Options | Read - Uncheck: Get XXX headers at a time. When you go
to, or subscribe to a newsgroup, it will only download the messages for the
number of days you selected.

Opinions on this vary, but in Tools | Accounts | News | Properties |
General, I have Include this account when checking for new messages checked.
When OE automatically checks for mail, (however often you have it set for),
it will also download any new news messages at the same time.

Answering your Q indirectly...

Tools > Options > Read > Get XXX headers at a time

You may set this option as high as 1,000.  Right-click on the newsgroup in
Folders pane > Synchronization Settings > select New Messages Only.  Now
every time you open the newsgroup (or hit F5), you will download the
next-newest set of headers/messages.

When you feel you've downloaded enough headers/messages, again right-click
on the newsgroup in Folders pane and select Catch Up Now.  This will Mark as
Read all messages on the server, including ones you've not yet downloaded.
Now return to "Get XXX headers at a time" and uncheck the option completely;
then compact the folder.

From now on, OE will only download headers/messages posted to the server
since you last checked (polled) for messages.

You should probably visit this page, too:
http://www.insideoe.com/files/maintain.htm#cleannews (lotsa good stuff
there).

Simple.   Use a small value for  Get ___  headers at a time
and don't use a synchronize command.
Then with threading turned off (View, Group messages by conversation unchecked)
just use  Get Next (e.g. Headers button) to go back as far as you want.

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