You can export by clicking on the medallion - Export - choose the file as a .pst file. You can browse then to store the file where you want - even a flashdrive, external drive or later burn to a CD. If you have to recall emails, etc. you can always import the data in the same way.

I just recently had to put together a new computer and was concerned about losing contacts, email, etc. since much of that we pull off the server for streamlined server space. I didn't lose a thing by doing these steps above. I have all the emails I needed even from several years ago.