Yup, since I've been threatening to dump the 10,000 old pm's that are currently stored in our database I have installed a nifty toy that will let you export them to your desktop in html format.
This means you can view them in your browser like a normal web page regardless of which operating system you run (meaning you don't need Word or Office or whatever).
You can choose to save a single pm using the "Save pm" option at the top right of each message (between Reply and Remove) or you can choose to export your entire Inbox or Outbox by using the "Export all PMs" option in the left column (under Inbox and Outbox).
It should be straightforward but if there are any questions throw them in this thread.
Devious, treacherous, murderous, neanderthal, sub-human of the West.