I use the File -> Import and Export to archive all my emails.
Once the wizard starts, select "Export to a file" than "Personal Folder File (.pst)". Select which folders and if you want to include their subfolders to archive, than select a destination and file name. I use a seperate backup partition to save this file, so that I FUBAR my C drive or something happens, I have my emails and addresses etc.
To import these later, just go to Import and follow the wizard.
Hope this helps.
\Dan