There is a way of copying the mail (data) file from OE which will en bloc save the messages elsewhere. I don't use OE but I'll post the solution later. Somebody else might have it in the meantime.
hansovs solution might be better but if that fails you can open each message and click file/save as and chose a folder to save to ( probably best creating one on the desktop you can find easily enough) - you would have to do this one by one so it might take a while.