The reason why you want to back this up, it will make your whole Outlook (Which includes Emails, Sent Items, Address Contacts, Tasks, and other items) all saved into one file.  It allows you to import this file if your email would ever get corrupted and you couldn't open up the file.  This applies to Outlook 2002-2010.  If you still use Outlook 97, it might allow you to do this, but I'm not really sure.  This is a good idea to create this PST file every other month or once a month.  Below are the instructions on this, and it's pretty simple to do and after you do this, it will keep the date you did the last filename.  I always save the file when the day it gets created, you can always override, but if that file has issues you couldnt pick another date if you do not do this.

Instructions to backup your Outlook Email box and save as a PST file

Open up Outlook

If you have a toolbar in Outlook you can Left click on File and Left click on Import/Export, if you do not have the toolbar and using 2007 or 2010, Left click on File, then Left Click on

Open, then Left Click on Import.

Left click on Export to a File and then left click on Next

Left click on Personal Folder File (.PST) and then Left click on Next

Left click on the Top Personal Folder or your email address on the top part so it’s Highlighted
and Make sure the Include Subfolders box is checked, then Left click on Next

In the Save exported File as (You can save this in the c:\My
documents or c:\down or use the default and CHANGE THE DATE)

It should read like c:\My Documents\Outlookbackup050411.pst    
Just change it to the date you are doing the backup.

After you change the date, Left click on Finish

You do not have to Create an Outlook Data File Password, Left click on OK

It will start to backup your Outlook and you should do this every other month in case of a crash with Outlook, makes it easy to import.

If you have any questions, feel free to email me at jonheil@pcitbacktogether.com, but it is pretty easy to follow the steps.  Another top 3 items that you should be aware on, AntiVirus Protection (I wouldn't advise Free ones - fixed a bunch of households already), Battery Backup UPS's for Desktops, and lastly Backing up your Data (Either with an external Hard Drive or using Carbonite).