I never found WLM to do this directly.
I got an email. Ms. X is CCed. I want to add Ms. X to my contacts list so I can send her an email directly, rather than doing a Reply All.
It should be simple. But when I right-click on Ms. X's name, it offers to correct the spelling.
I called Microsoft support. They said to hover over Ms. X's name, write down the email address with a pencil, and then type that information into New Contacts. Then they offered to tell me how it's really done for $99.
Can anybody tell me how to add a CCed person to the contacts list?

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