There are 2 things here. Do you want to save separate emails or the entire folders?
If you want to simple save the individual emails. Here's what you can do.
- Open Outlook Express (OE) and Windows Explorer (WE). Let those be the only two windows.
- Now right click on task bar and say tile windows horizontally.
- In WE, select the folder where you want to save the emails.
- In OE, select the mails, drag them with mouse and drop them in the WE window
- Now all mails will be saved as separate files with .eml extension.
If you want to save the entire folders, here's a step by step guide with screen shots on what to do
Remember, you have to take back up of at least 3 things if you want complete backup of OE. Or else just save the mail folders.