Unlike the OE paradigm that stores messages in multiple email files, Outlook uses only a single file for all email messages. This file has a .pst extension. As you might guess, this file can grow very, very large. But you can just back up a portion of the .pst file rather than the whole thing.
To get started with Outlook backup:
There's a separate procedure in Outlook called Archiving, which, while similar, is not the same as making a backup file. A discussion of Archiving is beyond the scope of this book.