you can also go down to the drop down 'selected messages' menu in your inbox and outbox (the one that usually says 'move to folder') and download the mssgs you select/tick to your PC in a few formats...text is one of them...(I'm not geeky enough to know about the others)
not as pretty as Word, but you'll have them...
also right down the bottom of the page, you'll see
Download all Private Messages as:
XML | CSV | Text
this'll dump everything to your PC
D