You can copy and paste emails as if they are any other type of file in windows, just highlight the emails you want to take, Ctrl C to copy, go to your USB drive and Ctrl V to paste.
C:\Documents and Settings\XXXXXXX\Local settings\Application Data\ Identities\YYYYYYYY\Microsoft\Outlook Express
where XXXXXX is the user in question (maybe default user if only one)
and YYYYYYY is a log Microsoft number that makes no sense
AND copy the entire contents of that folder - they will be .dbx files and a .log file.
Once you have formatted and rebuilt your system - just copy them back over to the same location - and bingo your entire mailbox and settings will be restored.
Go with whizzkid's suggestion. The "official" way of doing it is here (even though it says for OE5 it works with all versions since. Make sure you copy all the files you find in that location to your drive.