If you are just wanting to backup your e-mail, in WinXP open up Windows Explorer. Go to Documents and Settings, find folder for your user name and double click. Then go to Local Settings, Application Data, Identities. There will be a folder with a long alpha-numeric string (such as '{39789EFC-14C1-4CB9-A31A-CB7323CF69C9}). Double click that folder then go to Microsoft, Outlook Express. There you will find several files with extension .DBX. These are the folders from Outlook Express. Backup the ones you want to save (Inbox, Sent, etc..).
If you cannot find the Local Settings folder, make sure you have "Show hidden files and folders" ticked in Folder Options.
If you are wanting to save individual files, just open the e-mail, click File and Save As.