You can only export them to another Microsoft application.
If you want to make a backup of them, I suggest you firstly, move them to an easier location. Create a folder in the root drive, say C:\My Mail, go to OE, Tools, Options, Maintenance Tab and on the store folder point it to C:\My Mail. Close OE and the files will be moved.
Go to C:\My Mail and right click Inbox and save it somewhere else (CD-R, Memory Key), repeat this for Sent Items and any other private mail boxes you have.