message--options--settings--other--memory in use

Hmm, you can only transfer them with the option above and for one time only.

The option above.....

1. Messages means the messages icon in the phone menu.
2. After enter into the message, go to option by pressing the left button of the phone,
3. Choose Settings
4. In Settings, choose "Other"
5. Then, choose "Memory in use" for E:
6. It should ask if you want to transfer all your messages in the phone memory currently. This is only 1 time request only. 

This means some1 has switch the "Memory in Use" before. I guess nothing i can say about it. Why not you just sync the messages to the PC?

How many messages you wanted to transfer? 100 above?

Firstly, you have to go to the Nokia PC Suite, then copy out all the messages (not more than 25 messages at 1 time) you wanted to backup into a folder in the computer.

Later, you unplug the phone and plug in back again, but this time select the mass memory mode. Now you can copy and paste the messages from your computer into a folder in the mass memory.