Have a look at this first to see if it helps.

http://community.pmail.com/forums/thread/19635.aspx 

When I try to make a copy to self, get this message: An error has occurred saving your copy of the message and no copy has been made. This may be caused by lack of disk space, or by a disk error.

 There's plenty of disk space, not sure where to go from here...

 Steve

[quote user="weamish"]

When I try to make a copy to self, get this message: An error has occurred saving your copy of the message and no copy has been made. This may be caused by lack of disk space, or by a disk error.

 There's plenty of disk space, not sure where to go from here...

 Steve

[/quote]

Do you have the right permissions to create or write to that area?  Are your temporary folders accessible?

Please post the information from Help / About Pegasus Mail ... / Info

Pegasus Mail for Microsoft Windows
Copyright (C) 1992-2011, David Harris, all rights reserved
Electronic mail to support@pmail.gen.nz.

WinPMail version: Version 4.63 (Win32), Dec 22 2011, build ID 325
Language resources: Standard UK English resource set
Extension Manager version: 1.14
Operating mode: Standalone
User name and ID: Single-user mode, 0
Windows version: 6.0
Windows flag word: 0
WINPMAIL.EXE directory: X:\Pegasus\Programs
Home mailbox location: Z:\PEGASUS
New mailbox location: Z:\Pegasus\Newmail
TMP environment variable: C:\Users\SGH\AppData\Local\Temp
TEMP environment variable: C:\Users\SGH\AppData\Local\Temp
LAN-based SMTP support: N, N, N
NetWare MHS support: N, N, N
Built-in TCP/IP support: Enabled
  - WINSOCK version: WinSock 2.0
  - WINSOCK path: C:\Windows\system32\WSOCK32.DLL
Commandline: -A
Active -Z options: 32768
PMR variable: (None)
PML variable: (None)
MAI variable: (None)
NB variable: (None)
Autofiltering folders: 0 (0 active, 0 inactive)
Last new mail count: 4
Message size soft limit: 0 bytes
Message size hard limit: 0 bytes
Attachment size soft limit: 0 bytes
Attachment size hard limit: 0 bytes