If your old e-mails are a valuable source of reference, you should be backing them up already! The e-mails are stored in files with the same names are your directories in OE with an extension of dbx (e.g. Inbox.dbx). The location of these files may differ but will probably be under profiles. A search of C:\ for Inbox.dbx should point you in the right direction. To back-up your e-mails just copy the .dbx files to CD.
With OE things can slow down if you have too many files in a directory. If you need ready access to old files, I suggest you create new directories in OE for files from 2003, 2002 etc. This should reduce the slow down problem.