One way would be to create a new folder (say on your desktop and then on the mail message click file>save as locate the folder and bob’s your uncle!
The only problem with this is that it is time consuming and you may run into problems with the file names for example if to e-mails have the same header.
An alternative would be to locate the .dbx files, by doing a search and then backup the relevant fiolder to CD. If you then want to read any of the old e-mails without putting the .dbx files back into OE, you could get a small app. called OE Viewer from click here, which can open .dbx message files.
Also have a look at this thread which has more info. click here