Hi, Patty!
Use the freeware Outlook Express Freebie Backup available from http://www.oehelp.com/OEBackup
It is a superb software written by a Microsoft Outlook Express MVP.
Select the messages you want to copy, right click and drag them to the
destination folder in My Documents or desktop or wherever you want to
copy to, then choose Copy. This will result in a heap of .eml files in
the destination directory.