Nate: I'm no expert either, so if anyone wants to amend this to something simpler or better, or to correct any mistakes I may have made, please have at it...
For each page of the thread (the operation has to be repeated separately for every page), click on the date of the first response to open and display all the responses for that page. Then click on "File" in the toolbar, and click on "Save As". When the dialog box opens the cursor will be blinking on the highlighted "File Name" line - press either "Home" or "End" on your keyboard and then type in the current page number (at either the beginning or the end of the title, respectively), because all the pages can't have the same title when saved. Then choose your save destination at the "Save In" line - probably somewhere within "My Documents" if you're saving directly to your computer's internal hard drive, or the external recordable media drive of your choice to save it outside your computer (you can also do this later once saved to your hard drive to back it up, which you'll want to do if it's important for you to archive this for a long time) - and then click the "Save" button. (This will save the page in the original HTML web format which is easiest to view. You could, in a more complicated operation, copy and paste the plain text into Word and combine everything into one document, but I think staying with this graphic appearance and putting up with the separate pages is the preferable method.) Once saved on your hard drive, the pages can be opened offline by clicking on "Start" and then "Documents", etc. for whichever page number you wish to view.
P.S. - Hi Craig, good to hear from you once again, especially here (I too am otherwise gone :-)