Yes - voice mail messages are simply WAV attachments on an email that's been flagged as a voice mail message via special MAPI properties (i.e. the message class and media flags among other things). If you don't have VMO installed you'll actually just see the message as a WAV file attachment and you can save it directly. If you have VMO installed you can use the media master control (the VCR looking thing on the VMO form) to save it off - on the down arrow menu you can select the "paste to wav file" option to save the message off as a WAV file on your HD.
