De aqui :
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.
O link em si (no topo desta resposta) também tem fotos, se você precisar delas. :)