Emptying my Mailbox

[NOVA]

My mailbox is full and there are PM'S I want to keep, I moved them to a folder thinking that would give me space back, well it didnt.

How can I save the PM'S? I have never saved anything from a forum, I see the drop down on the bottom right side in the private messages but not sure how that works, can you techie's tell me how to save them and empty my mailbox?

Thank you