This may not be the "correct" way, but I go to the identities folder and backup the folder called "Main identity". You can take this to another computer and replace the Main identity folder and walla - all your email is there. I make a backup on CD of this folder from time to time to have a backup of my email, in case I need to reference it down the road.
This article tells how to archive your messages in Entourage 2001. A similar article tells how to do it for Entourage X.
Not to be rude, but this article should have been posted in the Office/Business Software forum since it deals with a Microsoft Office product, not Networking/Internet.