Can anyone advise please?

Hubby wants to save his trillions of Outlook Express emails to a folder on a hard disk. I have tried following the 'help'instructions but I think I am misunderstanding an instruction or two. I have compacted the 'in-box' (I haven't dared look at the 'sent' box yet) and made a back up folder called 'back up of inbox'. When I go into its properties I am given the 'C' drive whereabouts, when I eventually found the file, it is saved as a .dat file which I know isn't right. I'm about to delete the back up folder I made as it's no use in that form.

How can emails be saved in bulk (I have made an executive decision I am not doing them individually) so they can be transferred to either a CD or other drive?