In the Search tab of your MessageWatcher portal you can enter your search criteria, like date range and message type.  Then hit the Export button.  The messages can be exported to a .pst file so you can open them in outlook.

Here is an article on how to open the .pst file.

Once you have exported the .pst file from MessageWatcher to your computer then imported the file into Outlook you will be ready to save the messages as a PDF file.

Here is a link from the Adobe website – How to turn Outlook emails into PDF files according to Adobe.