open up outlook
go into into options
choose maintainance
click the store folder button (underneath clean up)

copy this file path and then navigate to it using my computer

backup this folder onto a cd or something

when you need to get your messages back onto your new system use the same method as above to find out where the message store is then copy your old messages from the cd to this folder

BTW: if you choose upgrade rather than clean install you should be able to keep your all your files, programs etc... when you upgrade to XP

you can simply copy the outlook express folder (somewhere in your home dir - not sure where it can be found in ME)
and export the pop/smtp/imap settings to importable files

thats exactly what i said - the problem is OE doesnt use a sensible folder, it uses one with a random name like (OX63HUFE7YWEF87-FFTYGSD) - thats why you use my method to find out which folder is the one you want

C:\Documents and Settings\USER\Local Settings\Application Data\Identities\{SAMorSID}\Microsoft\Outlook Express

that's what it looks like in XP

mine is

C:\Documents and Settings\James Bennet\Local Settings\Application Data\Identities\{DFF16927-88E6-4EAA-A097-460B7E65289B}\Microsoft\Outlook Express

like i said before, the path varies from install to install, thats why you gointo options to find the path

the only thing that varies is the Identity. if you only have one, who cares what it is named? if there's more, usually, all of them need to be saved anyway

Thank you all for your suggestions.
I found a very good solution:
http://www.bodrag.com/outlook-express-backup.html

here is the full tutorial:

http://support.microsoft.com/kb/270670

it's a microsoft sollution, but i guess when you change the os, you need to backup not only outloock but may be music, videos, other documents, i'd advice to use 3d party backup prog, for example true image, it also can easily backup applications settings and data including outlook express.