You'll need to manage your Data Files to find out where they are stored, and then you can copy them when OutLook is not running. In Control Panel there should be a 32-bit applet called "Mail" which will provide you with a "data file management" option, where you can find the location on your disk of your data files (normally they're all stored in the same place, but occasionally I've found that someone decided to specify a path when they created the file).
A note about closing MS-OutLook: Use the "File" menu to close it. If you just click the "[X]" in the top-right corner, this often doesn't perform a proper shutdown, which is often evidenced by seeing OutLook's icon in your System Tray (to be sure it has been completely shut down, use the Windows Task Manager {press CTRL-Alt-Delete for an option to get there quickly and easily}, sort by Task/Process name, and scroll down to the "O..." section to check for OutLook -- don't use this to close it though {because you want a graceful shutdown} as I'm suggest using this method ONLY to check if OutLook has actually been shut down correctly).
Now, if all your data files in are the same place (99% of the time they will be), then you can just copy that entire directory instead of just the one file. The nice thing about this is that if you ever add another mailbox data file to the default location in the future, your backup routine will pick it up automatically.