There are two ways...
firstly if it is only old items that you want to have to back up then do an
archive - first look at the properties of your email folders (etc.) and check
that they will archive (right click on a folder and choose properties) then
choose file - archive and it will archive everything from your folders and
put them in a file on your hard disk (from outlook 2002 it will also add this
folder to your list so that you can still access the folders, as the email
messages etc will dissappear from your inbox).
The other way is to export your folders to a file, choose file, Import
Export. Choose the option to export to a file and choose the Personal
folders file (PST) option as your choice (this way it is easy to import them
back in again if your hard disk fails), make sure that you are exporting all
your mail folders including sub folders and then choose where you want the
file to be placed and a name and export - there you have it.
Good luck