What version of windows are you on?
If it's XP:
How to back up Outlook Express items
Step 1: Copy message files to a backup folder
Step A: Locate the Store folder
1. Start Outlook Express.
2. Click Tools, and then click Options.
3. On the Maintenance tab, click Store Folder.
4. In the Store Location dialog box, copy the store location. To do this, follow these steps:
a. Put the mouse pointer at one end of the box under the Your personal message store is located in the following folder box.
b. Press and hold the left mouse button, and then drag the mouse pointer across the Your personal message store is located in the following folder box.
c. Press CTRL+C to copy the location.
5. Click Cancel, and then click Cancel again to close the dialog box.
Step B: Copy the contents of the Store folder
1. Click Start, click Run, press CTRL+V, and then click OK.
2. On the Edit menu, click Select All.
3. On the Edit menu, click Copy, and then close the window.
Step C: Create a backup folder
1. Right-click any empty area on your pen drive, click New, and then click Folder.
2. Type Mail Backup for the folder name, and then press ENTER.
Step D: Paste the contents of the Store folder into the backup folder
1. Double-click the Mail Backup folder to open it.
2. Right-click inside the Mail Backup folder window, and then click Paste.