Open up Outlook and select your mailbox
From the file menu select Open and Import
Select "Export to a file" and press Next
Select a file type of "Outlook Data File (.pst)
Select the folder to export.
Make sure you tick the "Include subfolders" tick box
Use the browse button to name your file - I suggest a your name with the date e.g. markbuhagiar-12Mar2013.pst and also choose a location (e.g. your desktop) to save your file .