If you have a newsgroup that you would like to save the messages from, you've already found that Outlook Express will start deleting the messages when they are removed from the server. Not exactly ideal.
With some newsgroups, what I do is convert it from a newsgroup to a mail folder. You then have the newsgroup messages stored. Note, any unread messages (i.e. with no message body) will not be able to be downloaded, about all you can do with them is delete the unread ones. If you did not read all the messages, no problem, just change the view to Hide Read Messages, then you are left with the unread ones. Press CTRL A to select all then delete them. What you have left are the messages that you have read and have message bodies.
Tools | Options | Maintenance tabsheet, then press the Store Folders
button will show where the message stores are located. If you have multiple
Identities set up and have newsgroups setup in those that you wish to save, you
will need to log into each Identity and find it's message store folder.
Outlook Express 5.x message stores are a DBX file. Each folder and
newsgroup have their own DBX file.
The "master list" for mail folders and newsgroups list is the
Folders.dbx file. The e-mail count is done with the pop3uidl.dbx file. These two
are of no use and can not be set up as a mail folder.
When you create a folder in OE, it creates a dbx file with that name.
Let's say we created a folder named Stuff. We then open the Stuff
folder and that would create a Stuff.dbx file in the message store
folder. This is how we make Outlook Express think the newsgroup file is a mail
folder.
We're going to copy, not move, the dbx file associated with the
newsgroup to a temporary folder.
Rename the dbx file, let's say we copied the
microsoft.public.inetexplorer.ie5.outlookexpress.dbx file. We will rename
it to say MS_IE5_Outlook Express.dbx
Create a new folder in Outlook Express by the same name we've just changed the newsgroup's dbx file to then open that folder. That creates a MS_IE5_Outlook Express.dbx file in the message store folder.
Now, close Outlook Express.
Delete the MS_IE5_Outlook Express.dbx file from the message store folder.
Copy or Move the from one the temproary folder to the message store folder.
Start Outlook Express and open that folder.
Note one thing. If you had the Hide Read Messages set to the newsgroup, it will be set the same in the mail folder, so if you see nothing but unread messages or no messages at all, check the View and change it to Show All Messages.
Now you have the messages stored out of the newsgroup.