What do you want to do with these saved messages (e.g., open them
independent of Outlook Express)?

You can use Drag-and-Drop to save multiple e-mail messages at a time.

- Open the Windows File Explorer to the folder (directory) that you
want to save the messages to (e.g. C:\EML-TEMP).  For minimal confusion,
the folder should be empty or only used for saving mail messages.
- In Outlook Express highlight the desired messages (Ctrl-Click or
Shift-Click)
- While holding down the Left mouse button, drag the messages to the
Explorer window.  If the Explorer window is not visible, drag to the
Taskbar button for Explorer, keep holding the left mouse button down
until Explorer moves to the front, then complete the drag to the
Explorer window and then release the Left mouse button.
- Complication: Messages are saved as *.EML files where the first part
of the file name is the message's subject.   If you save multiple
messages in one drag-and drop operation, OE will automatically number
the subsequent messages with identical subject to make the name unique.
But if you later save additional messages with the same subject it will
start the numbering process over again and you will get a "Confirm File
Replace" dialog for the duplicate names.  When this happens, leave the
confirm dialog and switch to the Windows File Explorer.  Rename the
first file (e.g. rename "The Subject.EML" to "The Subject-1.EML").  Then
switch back to the Confirm dialog and click on YES.  The new message
will get saved with the original name and the previous message will
still be there with the new name.

- As an alternative to Drag-and-Drop you can use a program to extract
the contents of an mail folder file to individual *.EML files.  These
programs automatically generate unique names for the *.EML files
  - DBXtract - http://www.oehelp.com/DBXtract/Default.aspx
  - DBXpress - http://www.oehelp.com/DBXpress/Default.aspx
  - DBXtend - http://www.oehelp.com/DBXtend/Default.aspx
  - OEX Enhancements - Import/Export/Resend/Duplicates/Attachments,
etc.
    http://www.oehelp.com/OEX/Default.aspx