You have the option to save an unencrypted copy of your message, when viewing it on the web (see here for more).
If you used the button at the top right your message, and chosen the 'Download as EML' option, your email will be saved in your downloads folder as an EML file - recognised by a number of popular packages such as Outlook and Apple Mail.
You can move the saved copy, through Explorer or Finder, to another location on your machine but if you normally file your emails in your mailbox the steps are slightly different. The exact steps will vary depending on which email package you use but as a guide here’s what you would do in Apple Mail:
Open (double click) the file that was download when you clicked on ‘Save’
Click on ‘Move to…’ at the top right of the message and choose the location you’d like it saved to
Unfortunately, if you use webmail, such as Gmail, then the above usually won’t work as they don’t have an option to add a saved message to the inbox. Instead, save the message as HTML (see how to here) and file the message on your device.