There are two parts to this: backing up messages and backing up the address book. To find your message store click Tools, Options then select the Maintenance tab. Click Store to find where Windows is putting your mail. Backup that folder. You can save the address book using the File>Export command. Details are in the Microsoft knowledgebase: [http://Support.microsoft.com/kb/270670]
Or you can use the tool Amic Email Backup.