Step 1: In Outlook 2003, open the File menu and click Import and Export.
Step 2: The Import and Export Wizard will open. Select Export to a file in the actions list, then click the Next button.

Step 3: Select Personal Folder FIle (.pst), then click Next.

Step 4: Select the folder you want to export, then click Next.
Quick tip: To filter the messages that you export, based on keywords, the sender, etc. click the Filter button.
Step 5: Choose where you want to save the file.
Note: If you've saved this folder in the same location before, the export will add to the existing back-up file. You can choose how you'd like duplicate items to be handled.
Replace duplicates with items exported: Any data that is already in the existing back-up file will be overwritten by the version currently in your Exchange mailbox.
Allow duplicate items to be created: Any item already in the back-up file will be kept, and the new version will be created as a duplicate in the back-up.
Do not export duplicate items: If an item that is already in the back-up file, it won't be backed-up again.
Click the Next button to continue.
Step 6: If this is a new back-up, choose the encryption level and a password for the back-up, then re-enter the password when prompted.
If this is an existing back-up file, enter the password you chose when you created it.
Click Next and your back-up file will be created/updated.