How can I attach copies of emails to an outgoing email?

When I click the Attachment paper clip in Windows Live Mail, it opens the Windows Open dialog window which limits selection to existing files. But I need to attach previous emails which I can't find in the Open window. I know I can copy the contents of the email, like in forwarding, but I need to attach several emails and each has its own attachments. It's also not appropriate to forward each email separately because they need something to tie them together.