As Ladi said, the best way is to create a Personnal Folder file. You can add messages to this file and every other Outlook stuff.
For Outlook Express 5.0, i would suggest to backup all the mbx or dbx files in application data\identities\{lots of number and letter}\microsoft\Outlook Express.
ALSO, if you dont know, Outlook 5.0 (the full version) needs Outlook Express 5.0 to be installed on your system !!!
I say that because if you are like me and switched from express to full version and want to get all your messages back you will have to copy the dbx or the mbx files to the above directory and then in Outlook there is a way in Import to get Standard messages (outlook messages are part of this). When Outlook full version import Outlook Express messages it wont let you choose wich files to get but will go in the Outlook express directory and pick the messages you have there. If by chance it is not a new windows install, all your messages will be there, but if you made a backup of your dbx or mbx you will have to copy them to application data\identities\{lots of number and letter}\microsoft\Outlook Express to be able to import them....
Good luck
I know its complex but it took me 1 weeks and a half to find out how it was working...