This is some what tricky..... and one of the main reasons is that it is not straight forward and obvious how to find the files that are in effect the emails you have dowloaded on to your computer.
Fortunately I am going to tell you here how to do that.
I am talking about Outlook Express 6 HERE:
In order to find the location of the files that are in effect the ones you want to retain in order to retain your emails do this:
Open up Outlook Express in the normal way, use the start button and probably Email Outlook Express will be in the menu..
Once Outlook Express is open Go to Tools ! Options ! Maintenance ! Srore Folder...
Now you can copy that path or location using the normal swipe and right click choose copy.
Now go to Start ! Run and in the white box paste the location, hit return and you will see the files blinking at you in a box.
You are interested in the ones ending .dbx ok.
Copy all of them and put them on a disk that is in good nick then do that again you can not have two many backups of these important files.
If you have to rebuild you computer due to a virus attack then the new build will also have a location for these files, but notice that it will not be precisely the same place, essentially it will be similar but not precisely the same. Find yor files, find you new folder location, and copy the files not move copy, into the folder location. Then restart Outlook Express, you must restart it!