From the Inbox, select New Items > More Items > Outlook Data File.
Enter a File name.
To add a password, check the Add Optional Password box.
Select OK. Type a password in both the Password and Verify Password text boxes and select OK again.
If you set a password, you must enter it every time that the data file is opened — for example, when Outlook starts or when you open the data file in Outlook.
About Outlook Data Files (.pst and .ost)
When you run Outlook for the first time, the necessary data files are created automatically.
Sometimes additional data files are needed. Outlook Data Files (.pst) are saved on your computer in the Documents\Outlook Files folder.
Older messages and items that you don’t use regularly can be archived to an Outlook Data File (.pst).
If your online mailbox is nearly full, you can export some items to an Outlook Data File (.pst). You can also use these files to create archives, project files, or backups from any Outlook account.
Outlook Data Files (.pst) are used for POP3 email accounts
Tip: If your Outlook Data File (.pst) becomes large, it can slow down your OneDrive sync and may show "Processing changes" or "A file is in use". Learn How to remove an Outlook .pst data file from OneDrive.
Some accounts (IMAP, Microsoft Exchange Server, and Outlook.com) use an offline Outlook Data File (.ost). This is a synchronized copy of the messages saved on a server. It can be accessed from multiple devices and applications such as Outlook.
Offline Outlook Data Files are saved in the drive:\Users\user\AppData\Local\Microsoft\Outlook folder.
Tip: It isn't necessary to back up an offline Outlook Data File (.ost), because it's already a copy of the live information on the server. If you set up the account again or on another computer or device, a synchronized copy of your messages will be downloaded.