You do not say what email client you are using. For Outlook 2000 for example, and it may work with other clients/versions too, select the folder in the list of folders on the left of the screen. Then, holding down the "shift" key, right-click on the first of the files you wish to print. Without letting go of the Shift key, click on the last file in the list which you want to print. At this point all the files should be selected (highlighted). Now click on the Print icon in the toolbar at the top of the window and they should all print out. There will not be page breaks; they will print out continously, but with the Headings shown in the original on-screen version.
If you want to print out only some of the files in a particular folder, then hold down the "Ctrl" key instead of the "Shift" key, as you select the files you want to print.
Hope this helps?
