It's a bit complicated if you do not have an upgraded version - which I strongly suggest if these messages are that important. I found an article about moving the emails without upgrading: http://email.about.com/od/outlookexpresstips/qt/et041606.htm
If you are able to forward them to another email client on your computer (or a friend's) then once they all have arrived, use that email system to archive them, and then burn the archive to disk.
If you are talking about saving each message as a separate text file, then you may wish to install software that will help (don't know any off hand). If you have a Mac, you could use Automator to open each email, save it to a .pdf file, and then save it to a separate folder to be burned later.
If these emails are really important, upgrade your account, and go from there. Hope this helps.
TooHotinAZ, August 2007