http://office.microsoft.com/en-us/outlook-help/archive-items-manually-HA010355564.aspx

First, in Outlook, create a new Outlook data file to archive into:

• New Items → More Items → Outlook Data File → Some name
  • Such as archive.pst

The new personal store (data file) will now be visible as a folder on the left.

Now you can create your desired folder structure in the new data file:

• Right-click on the folder in which you want a new subfolder
  • Choose New Folder
  • Name it something useful

You can drag and drop folders or messages from your primary data file into the new one:

• Simple drag and drop will move messages or folders into the new data file
• Holding the Control key down while dragging and dropping will copy the messages or folders
• Right-clicking while dragging and dropping will prompt you for copy or move

If you wish, you can just leave the archive file open and displayed in your Outlook folder list. Or, if you prefer, you can close the archive file and reopen it whenever you want:

• Right-click on the top-level archive folder on the left
  • Choose Close…

To reopen an existing data file:

• File → Open → Outlook Data File