How do I archive PMs? (Newbie)

I got this message: Your private messages box on Black Hat Forum Black Hat SEO has reached 90% of your allowed quota. To ensure that you do not reach 100% of your allowed messages, you should consider archiving or deleting some of your messages

But I can't find any way to ARCHIVE the messages, only to DELETE them.

The "Private Messages" here also doesn't mention that option:
black hat world.com/blackhat-seo/faq.php?faq=vb3_user_profile#faq_vb3_private_messages
(remove spaces)

here http://www.blackhatworld.com/blackhat-seo/private.php?do=downloadpm&dowhat=csv

Ohhhhh, so archiving means downloading the PMs to a file, and not like archiving in gmail
No wonder I couldn't find it...

Thanks.