to backup a few messages, select them and click Message / Save As. Choose a format acc. to your needs, .eml to have them saved separately or .mbx - all together.
For more messages, it may be better to create a temporary folder in theBat and copy the messages there. Then close theBat, backup the physical folder that corresponds to the temp folder you created, and then delete it. This way you'll have the messages in theBat message base file.