Click "File" -> "Advanced" then under Export, click "Export"
"Export to a file" -> "Outlook Data File (.pst)
From there you can backup and save any files an folders you want.
I do not know which type of mail server you are on any you may want to let us know. The reason I mention that is because I use hotmail in outlook and do not need to backup my emails as they are always held on Microsofts server. However, I do make backups of my calendars and contacts regularly.
You can also schedule backups by going to the "Add-Ins" Tab and selecting "Backup"
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