The functionality you want has been eliminated by Microsoft, apparently they
hired a group of bumbling idiots to ask the wrong people the wrong questions
and used that to determine that there wasn't a single person in the world
that utilized that functionality so they could safely eliminate it.
I believe this group was the same one that advised MS that a "Ribbon Bar" is
a good idea.
Anyway, the functionality that you want won't exist anymore (though I
believe I saw MS advertising a third party add-in that does provide this
functionality if you want to pay for it).
This is the process:
Open the Web menu, type in the address of a root folder. Drag the folder
that you want into the shortcut bar, close the web interface.
When you want to move a message into the file system, click on that link you
created above (which opens Windows Explorer to that folder), go back to
Outlook and grab hold of the message that you want to move into the file
system and drag it over the button on your Start Bar, where you can drop it.
Then go back into Outlook and Delete the message you wanted to move because
all this does is copy it.
We have officially labelled this the PITA manuever (it displaced the
methodology we had to adopt for managin users when our security team decided
that AD Short Names were too much of a risk and everyone needed to adopt an
assigned alpha-numeric)
I personally have 43,532 users I have to issue these instructions to. 43,532
whose primary methodology of saving files from outlook has been eradicated
because MS got lazy.