I created a test script and built a rule to fire the script on all messages.
It still does not seem to fire.

When going to "Tools"->"Rules and Alerts"->"Run Rules Now", the description
of the rule says:
Apply to message
on this machine only
run "Project1.ExtractMessage2"

The script is:
Public Sub ExtractMessage2(Item As MailItem)
   Open "c:\hello.txt" For Output As 1
   Print #1, "hello world"
   Close #1
End Sub

Please advise.