WLM being discontinued makes doing this on the still working PC the smart move, and the single versus bulk split has clean answers for both:

Single email, built in: WLM can print, and with a PDF printer installed, Microsoft Print to PDF on Windows 10 or a free PDF printer on older Windows, File, Print, choose the PDF printer, saves an individual email as a PDF. For the important few, this native route needs nothing extra on a Windows 10 machine.

The bulk reality, since WLM has no batch PDF export: WLM stores mail as individual EML files in its storage folders under the user's AppData, which is actually convenient, because a folder of EML files is exactly what the bulk EML to PDF tools this forum covers take as input. So the bulk path is to locate the EML files and convert them, rather than fighting WLM itself.

The bulk route via the EML files: navigate to the WLM storage, %userprofile%\AppData\Local\Microsoft\Windows Live Mail, copy the storage folders of EML files and run them through an EML to PDF converter in bulk or Thunderbird with ImportExportTools NG, the EML to PDF machinery producing a PDF per email with attachments handled per the converter, all covered in the convert multiple EML thread linked alongside. The EML files being right there in the folder is what makes WLM bulk conversion straightforward once you know where to look.

The preservation priority, given the dead software: as with any retiring client, getting the mail into a portable form matters most while the PC runs and here the EML files are already portable, so copying the entire storage folder off the machine preserves everything in a format that converts to PDF anytime, the mail safe first and the PDF conversion possible at leisure from the copied EML files even after the PC is gone.