Search in Google for "Backing up Outlook Files" there are loads of sites.
Here is one
http://www.computerhope.com/issues/ch000457.ht m
I have never done it so cannot verify the above works.
I guess you know that Outlook Express is the one that comes free with Windows, Office Outlook is the one that comes with Ms Office (which you do mention in your subject).
Ensure all your mail is to your local machine and not on the server. Some people work with their mail held on the server and none on their local machine.
If you backup your local files you will get nothing.