In Outlook, go to File (top left) -> Open & Export (side bar, upper left side) -> Import/Export (on the main screen)
This should open the Import and Export Wizard, as shown below:
This should open the Import and Export Wizard, as shown below:

Choose Export to a file -> Choose Outlook Data File (.pst) -> Choose what you want to export - if you want everything, select the email itself as shown in the image below:

Click through to the next page, which will be Export Outlook Data File - choose the path/file name you want the backup to be, then hit Finish
This will then create a .pst file backup of all the contents you requested.
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