Is there a way to download or export to Word all of the e-mails that I've sent to a client?

Is there an easy way to download or export all of the e-mails that I’ve sent to a particular client? I’ve been trying to print e-mails that I’ve sent to a client, one by one, and it’s time-consuming and they don’t format well for printing. I’d prefer to download (or export to Word) all of the e-mails at once, if possible.