I haven't used Outlook Express in a long while, but anyway, I know they don't really do anything with it anymore because Vista comes with "Windows Mail" now or something like that, and so I don't think the features are going to be exactly the same since they no longer care about it, but in most email clients you CAN do something like this:

Right click on the email message you'd like to save, and look for "Save As" somewhere. Or, you could try just using the old way of the top menu bar where there is a save option.

Either one should allow you to save all your mail. There is another way but navigating through 2,000 dialogues to try and find where the hell Outlook keeps the folders your mail is in is more than a pain in the ass, so if you just wanted those few for your personal stuff, I'd use that.

Here is what I do because I have a lot of accounts, which is because I have one or two I use for private / family / friends, and then a few for mailing lists and so on:

I save the messages and create folders if need be (in FreeBSD and Linux this is done for you) and just back those up to my server, and synch it once in a while.

I also sometimes do this if it's very important:

Save each message twice; once on your machine, once on another, and then forward each one to a gmail account or whatever else, and store them on their servers.

Either one makes a good back up service

Also don't forget FreeBSD and Linux have a tool that let's you use a Gmail account as a storage device

I can't remember the name of the tool, but it basically mounts your Gmail account as a hard disk so you can copy files to it. Great idea with how you can sign up for free and get a couple gigs to back up to