I can't see anyway in OE to save a batch of files. Save each
individually in HTML format to another folder, then open them in Word
and edit.
Opening in Outlook gives you more output save formats, e.g. txt format.
Other email clients may do better. For example, if these emails were in
an IMAP folder on a mail server, you could take the entire mail folder
(which is one text file) and open directly in Word. You would edit out
the mail header info, of course. If the number of files you have to
deal with is huge, you may wish to pursue this.
Hope this is useful to you. Let us know.
rms