If you've never backed up your e-mail then you could do a lot worse than use KLS Mail Backup to make backups of your most important files.
KLS Mail Backup copies messages, email addresses, folders, rules and can even copy your browser history, favorites and cookies, etc. Best of all, it doesn't save them in that annoying MST format that MS Outlook uses - it compresses them in ZIP format that anyone can restore when they need it.
The big question is, how long does it take and what applications does it work with. Well, with Outlook Express it's pretty quick although it doesn't work with Microsoft Outlook unfortunately. It does however work with Mozilla Thunderbird, SeaMonkey and Windows Mail which isn't a great deal but covers most of the major alternatives outside of Outlook. One added bonus is that it can also backup Windows Live mail contacts, Messenger files and configuration but not unfortunately, the mail itself.
KLS Mail Backup is a pretty flexible mail backup system that has most of the major avenues covered except the glaring omission of Microsoft Outlook.