From here:
Step 1: From the File menu, select
Import and Export to start the Import
and Export Wizard.
Step 2: The Import and Export Wizard
window will now appear. To export a
file, choose Export to a file and then
click the Next > button.
NOTE: There are several file formats
that one may use as the destination of
exported contents. Depending on the
file type of the destination you can
be presented with different options
for the export process.
NOTE: If a personal folder file (.pst)
is used as the destination for
exported contents, the option is given
to include subfolders and to filter
e-mail contents based on content.
Step 3: You will now be prompted to
choose the type of File to export to.
Choose Personal Folder (.pst) and then
click on the Next > button.
Step 4: You will now be prompted to
select the folder to export from.
Select the folder that you would like
to backup. If you want to include
subfolders as well, make sure and
check the box next to Include
Subfolders. Now click on the Next >
button.
Step 5: You will now be prompted for
the location to save the PST file to.
Click on the Browse button to select
the folder to save the file to.
Step 6: The browse window will open
allowing you to select the location to
save the file to. Once you have
selected the location you want, click
OK.
Step 7: You will now be returned to
the Import and Export Wizard window.
Click on Finish to export the file.
Step 8: You will now be prompted with
a window to specify the settings for
your new PST file. Here you can set
the encryption level and you can also
specify a password for the PST file.
Once you have made any changes you
want, click on the OK button.
Step 9: A progress bar will be shown
as the file is created. Once the
export process is finished, you will
be returned to Outlook.
The link itself (at the top of this answer) also has pictures if you need them. :)
