First, Unity will never automatically delete anything on its own - unless you're running an external tool such as Message Store Manager to run through and remove messages based on rules, the message is not going to be removed.
2nd, you'll have to get the message via a desktop client - install Outlook on another box and point it at the mailbox of the user in question using an account that has rights (i.e. the account associted with the AvCsMgr service on the Unity box) - the messages are saved as straight WAV files in G711 MuLaw playable on any Windows box. You can get the message and save the WAV file off to wherever you want.
NOTE - if you have VM only this is technically violating your license. To do this properly you'd want to pay for some Unity Inbox licenses that let you get at mailboxes from a web based client. Presumably you don't have any of those and you need this sooner rather than later. It'd be a good idea to pony up for a couple of those if you want to be able to deal with this legally down the road. You can see more about how to use the web inbox in the users guide here:
http://www.cisco.com/application/pdf/en/us/guest/products/ps4608/c1626/ccmigration_09186a00801b9254.pdf
