Simply copy the pst-file but make sure you do not overwrite any existing
pst-files in this process.
Then connect to the pst-file via
File-> Open-> Outlook Data File...
If desired, you set it as your default delivery location then within Outlook
but note that you could be redownloading all your email from the server then
when you have the option "Leave a copy on the server" enabled (FWIW: Outlook
2010 will deal with this in a different way and will not redownload all
emails).