There are addins, but you can also use a macro to do it too.
Saving All Messages to the Hard Drive Using VBA
Outlook will need to download the message then either you or the macro will need to delete it from outlook. However, searching and reading messages will be easier if they stay in outlook - and with pst files supporting 20 GB or more, file size isn't a big issue for most people. (If you want to save it in a searchable universal format, see
How to Save Email in Windows File System for options, also for addins )
I use a macro to save selected messages to a folder on my hard drive - the folder name uses the email subject (first 40 char.), saves the attachments plus the message as HTML, doc, and as a msg file. (I need the attachment saved and wanted a readable copy of the original message so i could avoid searching for it should i need to check something. HTML format gives me the best formatting but doc allows adding notes and msg just in case i need to see the unadulterated original. )