It’s pretty easy and it works for all versions of Outlook Express (the basic one from Windows XP, Outlook from Office 2003, 2010 and so on).
In order to save all the e-mails as single files, you can select all of them and then draw them into a normal folder.
In order to draw them, just minimize the Outlook Express window and draw them there.
If you want to go slow and check every e-mail, you can open for example an e-mail and then use save as. This way you can save only certain e-mails.