In Outlook go to File>Import/Export> Export to a file - then choose *.pst file. Make sure the "include subfolders" is ticked. Save this to either another drive or a CD.
To save your favourites, simply copy the favourites folder to another drive or a CD. Depends on which OS you are using as to where the favourites folder is. In XP its in My Computer>Documents and Settings>USERNAME>Favourites.