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Open Outlook and go to File > Open > Import.
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Select Export to a File.
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Go to Next, select Outlook Data File (.PST) and go to Next.
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Select which part of the mailbox you would like to export, if you would like to export the entire mailbox select your email address from the top of the list.
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Go to Next and then go to Browse and select the location you would like to export.
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Go to Finish where you will be given the option to set a password to secure the PST, enter a password if you wish to do so and click OK, there will then be a short delay while the data is exported.