Sheesh people... it's not hard.
Win98 (Assuming SE) and Win2k Build 2195
In Outlook Express pull down the Tools menu and select Options. Under the Maintenance Tab, Click on the Store Folder button. Just point it to a mutual folder where you store your mail.
Do this in both Win2k and Win98
FYI, I use a folder on a drive that I never format. Mail is always backed up. I've got mail going back 5 years now from my Eudora (shudder) days.