Do you actually download you mails, or just view them on the server?
If you download, it's easy peasy. Create a folder for storing the mails, open the folder and minimise it. Then open outlook, select the mail(s) you want to save, and drag them down to the folder you created. The folder should then restore, drag them into the folder, and stop dragging. That's it.
Not though that you can only view them via your email programme, so if you want to view them any other way, use copy, and then paste into your chosen text format (Word or whatever).