<< Actually tripleshot, the resources and load that would put on the server to allow people to save them would be to big of a hit on these forums. If there where a smaller community then that would be such a bad problem. Has zuni said before time and time again, do not use PMs to store important information. Save it right away if it is important. >>
I disagree. By allowing a download to folder, I mean something simple, like just having it generate one long HTML page consisting of all the PMs. To navigate the page, at the top of it have a list of all the people in the history, with links to where their PMs start on the page. This generation would cause the same, if not less load, than it would for a person to go to each of the PM pages on their own. It should be obvious why this is so (less overhead in generating one large page than in generating hundreds of small pages, assuming equal content).
The only point of concern that I can think of is that someone with a lot of PMs could keep loading the same page, and that would strain the server. To get around this, and be helpful at the same time, the site could do 2 things:
a) make this unified PM page a button which prompts you to save the PMs to your computer. (helpful because some newbies don't know how to do file->Save As)
b) make the button also clear out all your PMs, since you now have a copy on your computer.
Personally, I'd prefer this option over the current solution. Saving 100 pages, one at a time, isn't my idea of fun.