putty.exe download: - http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html
There are other terminal programs too that can capture to file, note that terminal programs can interfere with the IDE and starting one can reset the sketch.
or one could write a script in python, or any other favorite programming language.
This is just what I wanted. Once I have loaded the sketch onto the Arduino I run putty.exe in serial mode (no flow control) and capture the output to a text file of my choice. It DOES reset the Arduino, but that is not a problem because I want to capture all output from the start of the program.
Many thanks for pointing out puTTY to me! And to the author of course.
To those who may not have used it: Note that you download the actual program, not an installation, and the first screen is the configuration screen, then it runs the terminal program.