What I usually do is to compact all the mails first, and then go to option -> Maintainence to find out which folders all ur mail store into. For example, my mail store into: C:\Documents and Settings\Administrator\Local Settings\Application Data\Identities\{469A9CC0-CDED-11D7-9CDE-83F202075F45}\Microsoft\Outlook Express
copy this location to address and press "Return" You should see a bunch of files that have the extension *.dbx.
Whatever they are, store to somewhere you want and simply import whenever you need them.
When I am typing this sentence.......I realize that I have misunderstood your question......you are asking how to save file that the sender sent to u right.......
lolz