Microsoft outlook and outlook express are widely used email client programs. It is good idea to backup .pst data file.
Please note that Outlook and Outlook express are two different products. So procdure to backup is different.
Outlook .pst data file location
Open Windows explorer and goto following folder
C:\Documents and Settings\vivek\Local Settings\Application Data\Microsoft\Outlook
Make sure you replace name vivek with your own login name.
Outlook express .dbx data file location
Outlook express stores settings in windows registry and emails in .dbx file.
a) Open Outlook Express
b) Select Tools > Options > Maintenance > Store Folder
c) Now you will see a dialog that explains the location of the .dbx files.
d) Open file browser and location .dbx location and backup all files to another computer or zip drive or your backup media.
e) Run regedit in the run box (Star > Run) and pressing Enter:
f) Now navigate as follows:
Navigate HKEY_CURRENT_USER\Software\Microsoft\Internet Account Manager
g) Select the above key > Click File > Export and save the file.
For more information see this thread