You did not mention which mail client are you using, however, assuming this is outlook, here is a good article from MS, which can apply on almost all versions: https://support.office.com/en-us/article/Export-or-backup-email-contacts-and-calendar-to-an-Outlook-pst-file-14252b52-3075-4e9b-be4e-ff9ef1068f91
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https://support.office.com/en-us/article/Export-or-backup-email-contacts-and-calendar-to-an-Outlook-pst-file-14252b52-3075-4e9b-be4e-ff9ef1068f91