Shut down Entourage. In your user account, go to the /Documents/Microsoft User Data/Office 2008 Identities/ folder (replace 2008 for 2004 if that's the version of Office you're using).
Backup the "Main Identity" folder. That's your entire Entourage data. Emails, contacts, etc.
If you want to backup only certain emails, drag and drop them from the interface to the desktop. They will include any attachments. Back those items up. To bring them back in, just drag and drop them from whatever drive you have the individual emails on back into Entourage.