1. Go to File -> New -> Outlook Data File
2. Click OK to created MS Outlook PST File
-> To create a Microsoft Outlook Personal Folders file (.pst) that offers greater storage capacity for items and folders and supports multilingual Unicode data, click OK.
-> For compatibility with earlier versions of Outlook, under Types of storage, click Microsoft Outlook 97-2002 Personal Folders File (.pst), and then click OK.
3. Provide name for your file, and then click OK.
4. In the Name box, type a display name for the .pst folder.
5. Select any other options you want, and then click OK.
-> The name of the folder associated with the data file appears in the Folder List. By default, the folder will be called Personal Folders.
6. Drag any item from your current folders to the new folder. Press CTRL while dragging to copy items instead of moving them.