Hi, Mira. Thanks for reaching out! I'm an Independent Advisor and a Microsoft user like you, and I am here to work with you on this issue.
Mira, you can't save SMS messages from iPhone do Windows without a third party app. And those are usually paid. In case you're willing to pay for that, that I suggest you to check online until yo find the one the better suits your needs.
You can, however, try method #3 from the article below, in case you have a Mac:
https://www.easeus.com/iphone-data-transfer/sav...
Or maybe their Bonus Tip: How Can You Copy an Entire Text Conversation on iPhone. By copying the texts, you can try to send them via email message, then open on your computer.
I hope this helps!
Kind regards,
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