For outlook express...
One way to save an entire folder to your HDD quickly is this. You can store
them any place you want, but I'll use the Desktop as an example.
Right click on the Desktop | New | Folder
Open OE and drag the window to the right enough to see the folder you
created on the Desktop. Open the folder in OE and click on one message.
Ctrl+A will highlight them all. Left click on the messages and drag them to
the folder on the Desktop.
You can also be selective by holding the Ctrl key and just highlight certain
messages and then drag them to the folder on the Desktop.
Once you confirm they are in these folders, you can delete them from OE if
you wish, and follow up with a Compact All Folders.
Click on Outlook Express at the top of the folder tree so no folders are
open. Then: File | Work Offline (or double click Working Online in the
Status Bar). File | Folder | Compact all folders. Don't touch anything until
the compacting is completed.