Using older versions of Outlook for Mac in business environments
Unfortunately, this is not an option in Outlook 2011.
If this is a feature you’d like to see in future versions of Office for Mac, be sure to send your feedback by clicking “Help” > “Send Feedback…” in any Office application or by clicking on the link below:
http://www.microsoft.com/mac/product-feedback
As a workaround, if you want to save the emails, you may simply drag the email from the Outlook window to the desktop or any other location. That will save the complete email itself.