I believe the "Export" function just exports the messages to another email client. I don't think it saves them in another folder.
As for saving your emails, you could save them individually... though that would get a bit tedious. I'm not sure if there's any other way to do it, though.
Why do you need to save them? Because you're "rebooting?" If you mean reformatting, maybe I can see that.
Edit: You could try this...
I found a file which *might* be the stored emails in a particular folder. If you're running 2k or XP, try looking at c:\documents and settings\your name\local settings\application data\identities\some random hexidecimal number\microsoft\outlook express.
There are inbox.dbx, outbox.dbx, sent items.dbx, etc in there. Those MIGHT have the emails in them.
Edit 2:
Yes, I think those are the emails. I tried moving my inbox.dbx file somewhere else, and my inbox was empty. Outlook Express then generated a new inbox.dbx, which was smaller than the old one. After moving my old file back to where it was, the welcome message was back in the inbox.
So all you need to do is burn the files that correspond to the folders you want to keep, then when you reformat, put overwrite the default ones that Outlook Express creates.
There may be an easier way to do this, but I don't know what it is.