Entourage stores everything in a database, which other people in the thread have told you how to get to. You can back up that database, which has all of Entourage's data (email, contacts, tasks, etc etc etc). If you ever need to restore an old database, all that you need to do is tell Entourage to open up that database, and you should be fine.
Alternately, you can drag a mail folder from Entourage onto your desktop. It will create a file called YourFolderName.mbox. This file will only have the emails that are stored in that folder; if you have sub-folders, you'll need to drag them to the desktop separately.
You can do the same thing with other items in Entourage, too. If you drag a calendar event off of your calendar and onto the desktop, it will create an .ics file that you can backup. Contacts, tasks, and notes all behave in the same way.
After you've got these .mbox files, you can then do whatever you want with them -- move them around, burn them to CD, whatever. If you ever need to restore your email from this backup, you can simply drag the .mbox file from the Finder into Entourage. If there's a lot of email in there, it might take a minute or two for it to import.
Personally, I do this once a month (I have a recurring task set up to remind me to do it on the first Friday of every month) and save the files on a server somewhere. I'm always running pre-alpha software on my laptop, so having a good backup is very very important to me. 🙂
Regards,
Nadyne.