Hi holley,

You can give the below a try:
Sub SaveMSGs()    
    Dim olFolder As Folder
    Dim olItem As MailItem
    Dim iCount As Integer
    Dim aPath As String, sPath As String
    Dim fdObj As Object

    aPath = "C:\Users\jbloggs\Desktop\test\" '<<< Change to suit
    sPath = apth & Replace(Date, "/", ".") & "\"

    Set fdObj = CreateObject("Scripting.FileSystemObject")
    If Not fdObj.FolderExists(sPath) Then
        fdObj.CreateFolder (sPath)
    End If

    Set olFolder = Session.PickFolder
    For iCount = 1 To olFolder.Items.Count
        Set olItem = olFolder.Items(iCount)
        If olItem.Class = OlObjectClass.olMail Then
            olItem.SaveAs sPath & ValidName(olItem.Subject) & ".msg"
        End If
    Next iCount

    Set olItem = Nothing
    Set olFolder = Nothing

    MsgBox "Complete"
End Sub


Private Function ValidName(Arg As String) As String
    Dim RegEx As Object
    Set RegEx = CreateObject("VBScript.RegExp")
    With RegEx
        .Pattern = "[\\/:\*\?""<>\|]"
        .Global = True
        ValidName = .Replace(Arg, "")
    End With
End Function