Well would you like to save them in msg extension? If so pop this VBA code in the ThisOutlookSession class.
Sub ExportOutlookMessagesToDisk()
Dim ol As New Outlook.Application
Dim olns As Outlook.NameSpace
Dim cf As Outlook.MAPIFolder
Dim Prop As Outlook.UserProperty
Dim sMsg As Outlook.MailItem
Dim oAtt As Outlook.Attachment
Dim iMsgCnt As Integer
Dim iAttachCnt As Integer
Dim iRnd As Long
Set olns = ol.GetNamespace("MAPI")
Set cf = olns.GetDefaultFolder(olFolderInbox) ' olFolderInbox)
Randomize
iMsgCnt = 0
For Each sMsg In cf.Items
sMsg.SaveAs "C:\hold\" & sMsg.Subject & ".msg"
'sMsg.Subject
'With sMsg.Attachments
' iAttachCnt = sMsg.Attachments.Count
' If iAttachCnt > 0 Then
' For Each oAtt In sMsg.Attachments
' oAtt.SaveAsFile "C:\hold\Attachments\" & Mid(CStr(Rnd), 3) & "_" & oAtt.FileName
' Next
' End If
iMsgCnt = iMsgCnt + 1
Next
End Sub
Then you run this Macro.