mhelm1's suggestion will work if you only need the basic written contents of the email. If you want to save it in an email file format to preserve formatting, images, etc., click "File>Save As" in most email programs. (If you don't see "File" in the upper-left corner of the program window, press the "Alt" key.) Not sure about other programs, but I just checked my email program, and Outlook 2010 can even save email messages as webpages!
Simply drag the email you want to save out of the folder and drop it into the folder you want it saved in. This automatically saves the message by making a copy of it. The message will be totally intact and named by whatever the subject line is, which you can easily changed if you wish to.