Even if you've created Outlook personal data files before to archive, filter, or otherwise store mail on your local drive, you may not know where to find this feature in Outlook 2010. It's actually pretty quick and easy to do, once you know where to look.
On the Home tab, click New Items, select More Items, and choose Outlook Data File:
You'll be prompted to name and save your file, and you can password protect it if you like:
That's it. Your new mail folders will appear at the bottom of the left column in Outlook. If you ever want to remove it, just right-click it and choose the Close command. To add a closed Outlook data file, go to File, Open and click the Open Outlook Data File button: