best thing to do is....

OE stores the mail in a .dbx file. If you goto tools --> options --> maintenace tab and hit the "Store Folder" button, OE will show you where it puts the DBX files. That's in OE 6. If yer using OE 5, try upgrading to IE6/OE6 and the export works much better. I had a similar problem with Outlook/OE. Now I ALWAYS select 'keep a copy of the message on the server' just in case.