Dkav,
I've been through the hoops with this a few times.
You can export to (or import from) Outlook from the File menu in Outlook Express. You need to have both applications installed on your computer as far as I know.
The only way that I know to back up the emails in Outlook Express is to find the dbx files (or folder where they are stored). There is one dbx file for each folder you have - e.g. Inbox.dbx etc. I'm not sure if you can use these with Outlook, but they are handy to back up your emails.
Bootdog