(from http://www.computerhope.com/issues/ch000457.htm)

Backing up the Outlook Express mail

Locate the file by using the Windows find tool. Click Start / Find / Files or Folders.
In the Named box type *.mbx - in the Look in box, ensure it is looking on the drive that Microsoft Outlook is located (generally the C: drive).
Click Find Now

This should locate the Microsoft Outlook Express address book if present. If more then one .mbx file is located it is likely that you have more then one mail folder and it is recommended that each of the folders you copy all the files you wish to be backup.

Once this file is located copy the file to an alternate drive or backup media such as a Zip disk.