I have found two different methods to be effective:

1. If you are not worried about tracking who the message came from, you can forward the message to yourself, remove the attachment and with the message open, go to File>> Copy to folder. Select the folder you would like to save it to.
    
2. If you don't mind taking a bit of extra time, this method will preserve the original headers:
   
   1. Open the email with the attachment.
   2. Go to File>> Save As.
   3. Save the message to your desktop as .eml extension.
   4. Right click the file on your desktop and select 'Open with'>> Notepad.
   5. With the message open in Notepad, scroll down to the start of the encoded message and delete everything below.
   6. Once the attachment is deleted, go to File>> Save.
   7. Now, just simply drop this file into an Outlook Express folder of choice.

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