I've always used PST files for this, I'm not sure if the reply that SimonDavis posted will allow you to browse the archived messages. This solution works great for me:
(for Outlook 2000)
click tools/services
click add/personal folders
create the PST file wherever you'd like on your C drive and ok out of the menus
you'll notice a new folder tree on your folder list named 'personal folders'
I created a folder in there for all my sent items and created different categories for my incoming messages.
you can then either manually drag the files over or create rules using the rules wizard to have files automatically dropped in there.
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