If Archiving isnt working for you, you can create a new Outlook Data File or personal folder to move the items into.
In Outlook, go to File>New>Outlook Data File>Office Outlook Personal Folder File (.pst)
Choose the location and name you would like to save the pst as, once saved it should give you an option to change the name from Personal Folder to something you may want it to display as in Outlook.
Keep in mind that if you are using a Personal Folder or .pst to save your email into, that you might want to store the .pst in a safe location where it can be regularly backed up.
http://office.microsoft.com/en-us/outlook/HP030823561033.aspxJust in case, here is a link to Slipsticks Housekeeping and Message Management tools for Outlook. Might find something here that can help you. Also a good all round help site for Outlook and Exchange
http://www.slipstick.com/addins/housekeeping.asp