There's Efficasoft Mobile Express. Free, available here:
http://www.efficasoft.com/mobileexpress/index.html
It can be obnoxious when it's connecting (when it fails have to exit & restart), and I think it requires your phone be set for ActiveSync without "advanced networking", which is also annoying.
Once running though, it's convenient and useful, can send/receive/organize/search messages on phone from PC, can also back them up (export) to a text file format on the PC. (Though I'm not sure if you can search
those through the program.) Although I think searching or exporting was irritating until I figured it out - don't erase from phone without inspecting your export.
There are PPC applications which will do backups, many payware (doesn't mean they'll have easily readable formats).
You can fuss with PIM Backup (freeware) and end up with a .csm of your messages which you can import and parse with Excel... bit of a hassle. (Uncheck 'binary', open .pib like a .zip)
I'm sure there's some nicer easily-readable solutions for on PPC, anyone? Mobile Express does a decent job.