Oulook express 6.0

I have ar.900 mails in my ‘Inbox’.I want to shift
800 mails to a folder outside Outlook Express say c:or d: drive as it is getting very slow when i connect it thru Dial-up connection.
But when i select all 800 mails in one go & try to save in a new folder,the “Save as” option is not activated.

Do i have to save one mail at a time or i can save all the 800 mails in one step.