What version of AOL do you have? 9.0?
In 9.0, saved e-mails are typically kept in the C:\Program Files\America Online 9.0\organize folder. There should be a file with the same name as your username. It has no extension (such as .txt or .exe).
If that folder isn't found, there may be a Shortcut to organize folder, which should lead to a folder with a name like C:\Documents and Settings\All Users\Application Data\AOL\C_America Online 9.0\organize.
If you still can't find the file, you can open up the Windows search function and perform a search for you AOL username. This will hopefully yield a few results.
If you find your e-mail file, I don't know of any programs that allow you to view the contents. You can use a text editor such as Notepad, but it's not very reliable/accurate. But at least you can have the comfort of knowing that your e-mails weren't lost and that they can at least still be viewed with AOL.