it should do it by default and store it somewhere in my documents. if you go thru the options they will have a setting where you can change the directory.
Using an Exchange account it will use an OST file not a PST file. you can archive the mail from the exchange account. When you do that it will move it to a locally stored PST file.
XXXrage is correct...all exchange accounts create a local OST file in app data. to have mail placed in a pst u will either need to create one manually or use the auto archive.