Look at the bottom of the PM screen for the following:
Download all Private Messages as:
XML | CSV | Text
I save mine as text...
Andrew; I did some additional research and found an XML solution for the download.
Download your messages as XML and save the file to your computer.
Click on this link to download a ZIP file containing two XSL (XML style Sheets):
http://www.vbforums.com/attachment.php?attachmentid=46079&d=1142424833
Unzip the two files in the archive.
Open the file containing your downloaded Private Messages in a text editor.
You will see this line at the top of the file.
<?xml version="1.0" encoding="ISO-8859-1"?>
After that line, Insert this line. Modify the "file" to point to the location of the downloaded XSL files. Use "vb-private-messages-ie.xsl" for Internet Explorer. Use "vb-private-messages-std.xsl" for Firefox and other browsers.
<?xml-stylesheet href="file:///D:/MyFiles/Pens/vb-private-messages-std.xsl" type="text/xml"?>
Save and Close the Private Message File
In your web browser, use "Open", "File" to open the Private message file.
This is a bit of work, but produces a nicely formatted and collapsible screen display.