Jam, the folloing is form the help (correct as MS dictates) inside OE for compacting and backing up your email....
"
To compact and back up mail folders
Select a mail folder, click the File menu, point to Folder, and then click Compact.
To back up the folder, find the folder file, and then copy it to a backup folder, floppy disk, or network drive. Outlook Express mail folders have a .dbx extension (for example, "Sent Items.dbx").
Notes
Some message files might be too large to back up onto a floppy disk.
If you are using a program other than Outlook Express to send e-mail messages to newsgroups, check your e-mail program's documentation for information about compacting and deleting mail folders.
"
the way I explained it, did the whole thing for instan recovery of everything, if you only want to save certain emails, delete the ones you don't need or want and follw the help file way, or zip after deleting and compacting like I mentioned before...
That or you can buy a number of utilities to do it for you that range from 25.00 - $$$

sorry, thats about all the options there are...
Blame it on Bill!!
ah GATES!