How to easily backup your entire 365 mailbox...
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In Outlook
Click once to highlight your mailbox name
Click file
Click open & export
Click import/export
Click to select and highlight export to file
Click next
Click to select and highlight .pst
In the list double-check your mailbox name is highlighted and make sure "Include subfolders" is ticked
Click next
Select your save location and name the backup file
(In the video I saved to my downloads folder and named the file backup-full-mailbox.pst)
Click finish and wait for the backup to complete