If you'd like a video tutorial of this process please see the video below.

1) Within Outlook 2010; Click File

2) Click Options; Click Advanced; Click the Export Button next to ' Export Outlook information to a file for us in other programs'

3) From the Import and Export Wizard listing Choose to 'Export to a File' and click Next.

4) From the Export to a File Window Choose the file type 'Outlook Data File (pst)'; Click Next.

5) Choose the top most folder for export.  It should include your email address in the title. Verify that 'include  all subfolders' is Checked; Click Next.

6) Choose the lcoation and name that you would liek the file to be called.  I typically save it to My Documents and give the file name the current date followed by email backup.pst (ie: 2013-11-26emailbackup.pst)

7) Choose to replace duplicates with items exported and click Finish.

8) Wait for the backup to complete.