Create an Outlook Data File (.pst) to save your information

Click on File

Open and Export

Import/Export

Export to a file 

Outlook Data File (.pst) - Next 

Make sure that you select the mailbox of folder you want to export and click Next

Select where on your device you want to export and click Finish

You will be prompted to set up a password which is not mandatory, if you click Ok you will export without a password