If you'd like a video tutorial of this process please see the video below.
1) Within Outlook 2010, Click File
2) Click Options, Click Advanced, Click the Export Button next to " Export Outlook information to a file for us in other programs"
3) From the Import and Export Wizard listing Choose to "Export to a File" and click Next.
4) From the Export to a File Window Choose the file type "Outlook Data File (pst)", Click Next.
5) Choose the top most folder for export. It should include your email address in the title. Verify that "include all subfolders" is Checked, Click Next.
6) Choose the lcoation and name that you would liek the file to be called. I typically save it to My Documents and give the file name the current date followed by email backup.pst (ie: 2013-11-26emailbackup.pst)
7) Choose to replace duplicates with items exported and click Finish.
8) Wait for the backup to complete.