Go to File->Import and Export, then choose Export to a File, then choose Personal Folder File (.pst). Now choose the folders(subfolders) you want exported, or choose the top of the tree to have everything exported. Then choose the location of the file and you now have one file that contains EVERYTHING from your Outlook installation, this includes messages, notes, contacts, calender information, etc..
This is from my Outlook 2000 installation, BTW. If you're using an earlier version the steps should be similar. If all else fails, you can always look into the Help->Contents and look for "exporting"..Regards