This will work for Outlook (not outlook express) without an exchange server.
On the tools menu goto file>import export>export to a file>personal file folder (.pst). Then select the folders that you want to export to a new file. Exporting will clear the emails from your main mail file (.pst) and put them in a new pst file. To access the exported file goto file>open>personal file folder and find the exported file.
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