In OE Tools menu, click Options, click the Maintenance tab, and then click Store Folder. This will show you the location where you could paste the saved mail.
As an alternative, you have the option to change the location of the message store. You could change this to your saved folder. (I keep my message store in My Documents on drive D:) This would mean that your message files are safe and would not be lost if C: crashes or you need to reinstall again.