I use Outlook Express - but I imagine it is pretty close to the same.
This will save the entire e-mail (including to, from. subject etc)
Open the email, File, Save as, select desination where you want to save it , add a name and Save.
I have a folder called Jokes (how originial) and I add a number to the end of it (I'm up to Jokes #11) and periodically (like every 6 months) - I move them to a multisession cdr, clear out the folder on my hdd, rename it to the next number and start collecting jokes again.
Hope this is some help - I am sure there is probably another 100 ways people archieve their jokes.