You can archive your emails by using Outlook Data File (.PST) (aka Personal Data File) in Outlook. First of all, you need to create a "Outlook Data File". Then you can copy the email from any folder of your mailbox to the "Outlook Data File".

Create Outlook Data File (PST):

• From the Home tab, click New Items -> More Items -> Outlook Data File....
  
  
• Specify whether the archive to store (e.g. D:\email_archive). And provide a file name for it. If you want to set a open password, remember to tick the option Add Optional Password. Then click "OK
  
  
• The "Outlook data file" will be displayed on the left panel.

• Right click the Outlook Data File and choose Data File Properties.
  
  
• Choose Advanced.
  
  
• Then enter the display name in Name box. If you want to modify the open password, click the Change Password... button to set your open password.
  

Note: The Outlook Data File can only be opened using Microsoft Outlook.