Saving multiple e-mails in .msg format

I am using: Windows XP & Outlook 2003

I know I can copy an e-mail from my Inbox to my Desktop in 'Outlook Message Format (*.msg).

How can I copy many mail items to a folder on my Desktop, in .msg format.

I have tried to select the first, held down Shift and selected the last. Then gone to 'Save As', but the only option is to save as a .txt file. The .msg format is excellent as it not only keeps any special formatting in the mail it also keeps the associated attachments that may come with it.

I know I could created individual archive files, but it's such a hassle to bring them back into Outlook for viewing. The .msg files open from one Double-Click.

Can it be done?

Who is Participating?
David LeeCommented:
"... will they be moved from my exchange server to my hard drive."
David LeeCommented:

Just drag the items to the desktop or a file system folder.  Outlook will save them in .msg format.
NELMOAuthor Commented:
I shouild have spent more time looking at the forum!

Personal folders seem to fit the bill, fill them with mail and subfolders then expor as .pst file to anywhere I want (desktop, my documents....) Then Delete the folder in Outlook. If I need anything from the folder I can quickly import back to where it was in my folder tree, and it keeps the structuire inside the folder i.e. sorted by Sender, date etc.
David LeeCommented:
Yes, personal folders are a good solution for that.  One note though, you don't import and export them.  You can, but there's no need to.  After you've created and filled a PST you simply remove it from youor Outlook profile.  If youo need it again, then you add it back in to your profile.
NELMOAuthor Commented:
Just one more thing - BlueDevilFan

when I move mail or folders into this newly created personal folder will they be moved from my exchange server to my hard drive.
The whole point of this excercise is to keep freeing space on my exchange mailbox folder.
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