If this is outlook express then Tools > Options
click the Maintaince Tab, then click the Message Store button, you can than copy the path and get to that with Explorer, and copy them somewhere, else
you can also modify the Message Store to always keep them somewhere else. I have mine on my data drive so I dont loose them if I have to format windows.
If you do format windows then you can just change the Message store back to your folder with the files in once you have reinstalled. All is fine.