You can simply drag the message from Mail.app to a folder to create the link you want. The link that is generated is automagically named using the subject line of the email message. Yes, there are many such situations where Mac OS will do the natural thing.
You can also drag any message to TextEdit.app (as long as it's to an RTF document). Sadly, I haven't gotten this to work with Pages '09, but TextEdit isn't that bad. The same is reported to work with Stickies. See this link for a stickies example.
Here is another approach:
In Mail.app, on the message that you'd like to link to, select
and look for the a line that begins with Message ID. Copy the text to the right of "Message ID" and use it to link to that message via
. Make sure to copy the
> along with the rest of the id. I've tested this and it works with Safari.app as described in this article on MacOSX Hints.