Manually, the files can be found here. (Path may vary depending on your setup)
C:\Documents and Settings\
username\Local Settings\Application Data\Identities\{142E0720-27C9-4047-AF4B-1E94481BF569}\Microsoft\Outlook Express
Save all the files in that folder.
Also save this one. C:\Program Files\Outlook Express From memory the WAB is saved into here. Someone please correct me if I am wrong (don't use Outlook Express, sorry).
Ah, better info.
http://www.outlook-express-backup.com/ - Has a 30 day trial version (top left of page or right down the bottom). This looks the better option as it backs up everything in one hit. However keep in mind that the trial version may have some limitations. It may be worth purcasing if you want to keep a regular backup of your email. It is also a bit cheaper if you are a student. And no, I don't work as a salesman for them.
If you are into reading......
http://www.google.com.au/search?hl=e...e+Search&meta=