If you want to archive your mails,
Download DBXtract here, extract your messages from the .dbx files Outlook Express uses and save the resulting .eml files to whatever media you have in mind.
If you want to backup your message store.
In Outlook Express, Tools > Options > Maintenance tab
Click on the Store Folder button to locate the directory your message store is in.
Open Windows Explorer and navigate to that directory.
Copy ALL the .dbx files be sure to include the Folders.dbx file.
Or just copy the entire folder containing the .dbx files.
Let us know if this is what you are looking for or, if you were looking for something else.
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