In Outlook from the File Menu select Import and Export

Select the option to Export to File

Select Personal Folder File (.pst)

Select your Mailbox store and tick Include Sub Folders

Choose a destination to save the file.  Remember where you saved it as you will need it in a few steps

Select OK to not encrypt the file

In Outlook open the file you created

Select the location where you saved the export

View the Personal Folder (.pst) which has been attached