I've been preparing a Q&A for next month's club newsletter:
Outlook Express Help returned up the following procedure:
To compact and back up e-mail folders
* Select an e-mail folder.
* On the File menu, point to Folder, and then click Compact.
* To back up the folder, find the folder file, and then copy it to a backup
folder, USB Flash memory drive or CD. When backing up to a CD, first back up
to your hard drive and then move the file to the CD. Outlook Express e-mail
folders have a .dbx extension (for example, "Sent Items.dbx").
That procedure may be a bit cumbersome, but it may be just what you were
looking for. However, there are many third party products available. A quick
Google search turned up the following:
You may download a free trial version here (in the end you pay):
http://www.pcworld.com/downloads/file_description/0,fid,22994,00.asp
At $24.95 is:
http://www.adolix.com/outlook-express-backup/
At $34 is
http://www.softstack.com/oebkuprst.html
At $29.95 is:
http://downloads.theregister.co.uk/Windows/Internet/Email/123.html
Shareware:
http://www.expressarchiver.com/faq.html#shareware