Select the email you want to move. Then click File | Save As... and then
Browse to where you want to save the email.
Don't use Export (as others have discussed). And Bquinn's suggestion will
only move an email message to a different folder WITHIN the OE Message
Store; you can't move one to My Documents this way.
And if you really "Desire to learn" about Outlook Express, spend some time
at MVP Tom Koch's website, Inside OE: http://www.insideoe.com/