With the latest updates of Outlook 2011 for Mac, when opening a message, the Save As function is grayed out, so you can no longer save individual messages like that.

However, you can still drag the message from the Outlook window to your desktop or to a folder in Finder. This creates a eml file that Outlook can read later when you double-click it, and also includes all attachments of that message.

If you need an e-mail as a PDF, you can simply use OSX'es built-in "print-to-PDF" functionality.