In Outlook, go to the File menu and choose New….Outlook Data File. This creates a local *.pst file. By default, it wants to bury this file in your Documents and Settings profile folder, but you can place it anywhere you want by typing in a path. Once it’s created, you’ll see an item called Personal Folder in Outlook. You can drag and drop items from your Exchange mailbox to the Personal Folder.
Here’s the MS article you need: http://support.microsoft.com/kb/829971.