I think you can save separate email as .eml files. If that is not convenient, make a folder in Outlook Express (assuming that is your email application). Move all the messages in that folder.
Then, if the name of the folder is ImpMsgs, look out for ImpMsgs.dbx and keep a backup of that. Occassionally, keep backing up this file and your mails would have been backup. You can restore mails from the file later.
Then, if the name of the folder is ImpMsgs, look out for ImpMsgs.dbx and keep a backup of that. Occassionally, keep backing up this file and your mails would have been backup. You can restore mails from the file later.