A user asked:
How do I save a message to My Documents when using OWA?
Since OWA doesn't have a Save Message command, you need to use your browser's Save as command and save the message in HTML, MHT, or Text format.
To do this, click on the Print button to open the message in a browser window. If you have a PDF or other electronic document printer installed, you could print the message, otherwise cancel the print.
If you are using Internet Explorer, press Alt to display the browser Menu bar and choose File, Save as.
If you are using Outlook client, you can easily save message to the Window's file system : How to Save Email in Windows File System