You may consider to change the email messages folder location because the default location is almost impossible to find in a folder buried deep inside the Windows main system folder and this makes it very hard to back-up your e-mails.
Here few easy steps to do the job:

1. First of all you better choose a folder where you'll store all your e-mails.Just make it easy for you to remember.
    a > open MyDocument Folder
    b > Click File> New > Folder
    c > Rename the new folder something like MyEmail
   
2. Open Outlook Express
3. Click on Tools and select Option




4. On the next window click on Maintenance Tab and Store Folder




5. On the next window click on Change




6. Browse and locate the folder you have just created and click OK
7. click Ok
8. Click OK