I use Outlook 2003 talking to an Exchange server, but I believe it is the same process regardless of Outlook 2003/XP/2000 and what type of mail you are accessing.
File - Import and Export
Export to a file
Personal Folder File (.pst)
Select the root of your mailbox (all the way up at the top). Also select "include subfolders"
Select a filename
When you click Finish, you will be prompted for encryption and a password. I suggest leaving it at the default of "compressible encryption" Don't use a password to protect it unless it is confidential data. Odds are good you'll forget the password and the backup will be useless. This is experience talking. :)
Once the export is complete, close Outlook.
Right-click the file and choose Send To - Compressed folder. This will shrink the file size by 50%. Take the file with the .zip extension and burn it to CD or whatever - but get that file off of your PC (preferably out of the house) for safekeeping.
To restore the data: Open the .zip file, right click the file, and choose copy. Go up one folder, and click paste. This will extract the file from the .zip.
In Outlook, File - Import and Export.
Follow the prompts to import the data.
I hope this helps