You might be trying to move your PST file to a folder.
Below given is the step by step by process to copy your PST files to another location.
First find the location of your Outlook data file. After that follow the given steps to copy it:
1. Go to Start menu> Programs> Windows Explorer.
2. Browse your PST file.
3. Copy the .pst file to your desired location
To get more help about the topic:
• Click Start then click Help.
• Open the Search tab, and then type copy.
• Click Copy or move a file or folder in the Select Topic to display box
For more information check the URL: http://support.microsoft.com/kb/291636