From the Inbox, select New Items > More Items > Outlook Data File.
Enter a File name.
To add a password, check the Add Optional Password box.
Select OK. Type a password in both the Password and Verify Password text boxes and select OK again.
If you set a password, you must enter it every time that the data file is opened — for example, when Outlook starts or when you open the data file in Outlook.
About Outlook Data Files (.pst and .ost)
When you run Outlook for the first time, the necessary data files are created automatically.
Sometimes additional data files are needed. For example, older messages and items that you don’t use regularly can be archived to an Outlook Data File (.pst). Or, if your online mailbox is near your storage quota, you could move some items at an Outlook Data File (.pst).
Outlook Data Files (.pst) are saved on your computer in the Documents\Outlook Files folder.
An Outlook Data File (.pst) is used for POP3 email accounts. Additionally, when you want to create archives or backup files from any of your accounts in Outlook, Outlook Data Files (.pst) are used.
Some accounts use an offline Outlook Data File (.ost). This is a synchronized copy of the messages saved on a server and that can be accessed from multiple devices and applications such as Outlook. These accounts include IMAP, Microsoft Exchange Server, and Outlook.com accounts.
Offline Outlook Data Files are saved in the drive:\Users\user\AppData\Local\Microsoft\Outlook folder. It isn’t necessary to back up an offline Outlook Data File (.ost) as it is a copy of the information on the server. If you set up the account again or on another computer or device, a synchronized copy of your messages are downloaded from the server.