Outlook 2003 Backup
No clue why this is the case but Microsoft didn't include a backup routine in Outlook 2002 or 2003. What do you think they expect us to do if our computers crash? Do they think that email has no value to anyone? Well, it has value to me so I need to back my PST file regularly. Luckily there's a free add-in you can use to do it. Since Microsoft created the add-in you have to wonder why they didn't include the feature in Outlook!
Find it here Outlook PST file backup - download it, install it and then backup by selecting the new option which appears on your File menu.
So simple - just makes it all the more strange that Microsoft doesn't do it all for you without making you jump through hoops to do it yourself.