If you retrieve all emails, then you will need to build a loop and iterate through them to check each email separately. Your loop could look like this:

It will have a condition that checks if either of the 3 fields contain an email address that you set before the loop and if they do, it will save the message to a folder.
You will clearly need to add some actions for actually generating the email address to search for, as well as the folder. But this will at least give you an idea of how to check for it.
Here's a snippet of the loop that you can copy and paste directly into PAD:
LOOP FOREACH CurrentItem IN RetrievedEmails
IF (Contains(CurrentItem['From'], EmailAddress, False) OR Contains(CurrentItem['To'], EmailAddress, False) OR Contains(CurrentItem['Cc'], EmailAddress, False)) = True THEN
Outlook.SaveOutlookEmailMessages.SaveEmails Instance: OutlookInstance Account: Account EmailsToSave: CurrentItem SaveFormat: Outlook.MessageType.OutlookMessageFormatUnicode SaveEmailsTo: Folder MessagesFiles=> StoredMessagesFiles
END
END
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