There are two ways you can use a VBA macro to save all messages to a hard drive: use an ItemAdd macro to watch for new messages or use a Run a Script rule.
What is the difference between Export and Archive?
An Outlook user had a series of questions about Outlook's Export and Archive features.
Archiving by Received Date in Outlook
How to make Outlook 2010 or Outlook 2007 archive by the received date, not the last modified date.
How to locate, read, or recover items archived using AutoArchive
How to find Outlook folders, message, and appointments that have been automatically or manually archived and move the messages and appointments back into your main Outlook folders.
Using Outlook's AutoArchive Feature
All versions of Microsoft Outlook support Archiving. Learn how to configure Microsoft Outlook's AutoArchive settings and how to manually archive your mailbox.