1) Create a folder in My Documents or wherever you like and give it a name (e.g.: Outlook Express)
2) Open Outlook Express and log in to your identity (if not "Main Identity")
3) Go to Tools > Options > Maintenance > Store Folder and point it to the folder you've just created
4) Restart OE
When making a backup, include your self-made folder
1) Put your e-mail folder somewhere on your disk and make sure the files are not read-protected
2) Open OE & cancel on the prompt to configure an e-mail account
After re-installing Windows:
3) Go to Tools > Options > Maintenance > Store Folder and point it to your e-mail folder; click OK when prompted if you want to use it (or import) and restart OE
Note: this does not include your e-mail accounts (you should configure them again) and your address book (should be exported seperately to a .wab file).
You can copy everything to a cd or wherever