As Powerless says, the easiest and safest thing to do is locate your store folder and back it up. Your store folder location can be found if you open OE and go to Tools > Options > Maintenance tab and click the Store Folder button. Navigate to that folder using Windows explorer.
Another way is to create a folder named, for example, 'emails', and then open Outlook Express and drag emails you wish to back up into the folder. You can double click email's within the folder which will then launch Outlook Express and display the message. Hope that makes sense but this method was suggested in the Forum a while ago - can't remember by who though.