You need to install a program that creates PDF files. My personal favorite is CutePDF, free at http://CutePDF.com
Once installed, you give you the ability to convert anything you can print into a PDF file. You simple open the document you want to convert (such as an Outlook Express e-mail) and then go to the File menu. Click on "Print", and then change the "printer" you want to use to "PDF File" (the programs adds that option when you install it.) Instead of actually sending it the e-mail to your physical printer, it saves the file as a PDF file.
This allows you to create a PDF file from any program, or using any document that you are able to "Print".