The following is courtesy of fellow MVP Tom Koch:

Here's a fast and easy way to make an archive of messages in OE. This should work for all versions.

1. Create a New Mail Message. Enter the name you want for the archive in the Subject line.
2. Drag the messages you wish to archive from the OE5 message list and drop them into the New Mail Message. They will be added as attachments.
3. Click File|Save as... and save the message to any Windows folder as type *.eml, and close the New Mail Message window. The resulting file can then be compressed in a zip file to greatly reduce its size.
4. To restore the archived messages to an OE mail folder, double-click the saved *.eml file. Select an attachment and click Edit|Select All (Ctrl-A). Now drag the attachments into an OE mail folder. You can also of course simply double-click on a single attachment to read it.