The company I work for has disabled archiving for Outlook (2003).
They also do a mail purge at intervals. (Under Tools -- Options, the
Archive feature does not show.) I understand they have security
reasons for this, but, with no malicious intent, I'd prefer to be able
to save my old e-mails to my local PC. (They are currently saved on a
shared company server.)

Without trying to get in deep and mess around with the company
settings for my PC, is there any kind of reasonable work-around to
export or save e-mails (without having to individually save thousands
of e-mails from a couple of hundred folders?). I can't find a
workaround, but maybe someone knows a trick I don't know.

And, whatever approach anyone can offer (if any), can it be done in a
way that the company doesn't instantly spot it and hammer me?