The problem that PTravel is experiencing is that there is an administrative option in Windows/Outlook that prevents the creation of a new PST file from Outlook, not that the existing file isn't there. On top of that, since they are using a Citrix/Terminal Services environment there isn't even an OST file that is available to convert into a PST as a "cheat" to the issue.

There are two alternatives I can think of, neither of which are attractive. You'll have to manually forward the emails to another account or save the messages as MSG files (to include the attachment) and then import those back into whatever you want later. The export/import would be relatively less traceable by your net admin group; they can watch the emails passing through the system as you forward them pretty easily.