if you don't want to use the Personal Folders Backup add-in from Microsoft (for whatever reason) and you want to do it manually, in Outlook, do this:
1) File menu
2) Import and Export... selection
3) a window pops up
4) select "Export to a file" and hit the Next button
5) then select "Personal Folder File (.pst)" and hit the Next button
6) your folder listing will come up in a tree-view; if you want to back-up everything, select "Personal Folders" at the top ("Inbox" will probably be highlighted as a default)
7) make sure you check the "Include subfolders" checkbox before you click on the Next button
8) you'll be prompted for a name and location of the PST file you want to save; easiest thing to do is hit the Browse button and browse to your desktop, and type in a filename that you like (mybackups.pst or 2003jan29mail.pst, etc.), and make sure you select the "Allow duplicate items to be created" radio button before you hit Finish
9) close Outlook, and you can burn the PST file that's on your desktop to a CD, save it to a zip disk, or email it to yourself, etc.