In the Outlook Data File Password dialog box, type the password, and then click OK. When the Create Outlook Data File dialog box appears, type the password in the Password and Verify Password boxes, and then click OK. If you’re creating an Outlook Data File (.pst), an optional password can help protect the file.
Outlook begins the export immediately unless a new Outlook Data File (.pst) is created or a password-protected file is used. If you are exporting to an existing Outlook Data File (.pst), under Options, specify what to do when exporting items that already exist in the file. Type a different file name, and then click OK. Note: If you’ve used export before, the previous folder location and file name appear.