I use office 2003, so it might be slightyl different in your version. I would click "File->Import and Export", then select "Export to a file" and then click "Next". then select "Personal Folder File" and click Next. Then select the area where the emails you want to back up are kept ie Inbox, drafts, etc and click next. Choose theplace you want to keep the back up file and bingo you have baced up all your emails.
To get them back should anything go wrong simply import the Personal folder file (.pst) and your emails will be restored to the point you backed them up.