From your screen shot, it appears you have found individual email messages that you have saved to a different location. If you drag a message to the Desktop it will be saved as an individual .eml file.
Select Show Path bar to show where the file is located. With the Finder window selected under View in the Menu bar select Show Path Bar.
The Mail app stores your messages in the User's Library > Mail folder.
The User's Library folder is hidden by default. To unhide: Select the Finder in the Dock. Under Go in the Menu bar > hold down the Option key and you’ll see the Library.
Finding the User Library Folder
http://www.takecontrolbooks.com/resources/0167/site/chap11.html#FindingtheUserLi braryFolder
What version OS X are you running? Look under the Apple in the Menu bar > About this Mac