IMail.Save doesn't use msg file format. It uses MIME eml file format. Saving msg files is not supported. Your code should look like this:
email.Save("c:\\FWNVAX.eml"); // note the extension
.eml files can be opened inside MS Outlook for viewing (supported by Outlook 2003 and above).
It is enough to set the Outlook to be default email client and double
click to the .eml file to open it.
That will not import EML file to Outlook.
To transfer .eml file you should drag the email file to any Outlook
folder and the drop it (release the mouse button). Outlook will open dragged email message and you will be able to save it inside desired folder.
In Microsoft Office Outlook 2007 you may need to install this hotfix:
http://support.microsoft.com/kb/956693/en