The steps in this guide are applicable to Outlook 2013, 2016, and 2019.
Open Outlook.
Click on File, then Open & Export, then click Import/Export.
An export wizard will be opened. On the first step, select Export to a file, then click Next.
Select Outlook Data File (.pst), then click Next.
Select the folder(s) you want to export, then click Next.
Click Browse… next to the text field under Save exported file as. This will open a dialog box that will let you choose where you want to save the file.
Click Finish.
You will be able to find the new export/backup .pst file in the location you chose to save it in.