Those files are named *.dbx (like inbox.dbx) and they are all in one Windows folder. The location might depend on your OS, and if you use profiles or not, so I can't give an exact name. But they are easy to find in Explorer by just searching for inbox.dbx on your hard disk.
Then copy all files in that Windows folder (one of them is a kind of meta-file that tells OE what folder is a subfolder of what other folder). Restoring all the files in the folder is the sure thing to do if you want to restore, but it's possible to restore individual folders also.
You can read about this (and related data) in http://support.microsoft.com/default.aspx?scid=kb%3Ben-us%3B270670, titled "How to backup and recover Outlook Express data."
Kees
What are the Outlook Express email filenames and in what folder are they stored? I want to backup these files.

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