Outlook already has most of these features. You can use the Edit | Select All command to select all items in the current folder. You can use the File | Import and Export command to make a backup of your mailbox to a Personal Folders .pst file.

Couple of little tricks that may help next time...

1) When looking at any given mail box, you can sort the view by; To, From,
Subject, Received, etc. (basically by any column showing) by clicking on the
column title.  For example clicking the column title box "From" will sort the
view alphabetically by sender (0-9,A-Z), and if you click the box a second
time will sort reversed (Z-A, 9-0).  This can be helpful when you want to
find or select multiple messages from one sender, about one subject, from a
specfic date, etc.....

2) Two simple selection tips that have been common windows tools for years,
but many users don't know about or use, are the use of the Ctrl and Shift
keys when selecting files.  For example, let's say you have a box with 10
emails in it, sorted by "From" as follows:

Bert
Bob
Bob
Judy
Linda
Linda
Linda
Mike
Sally
Tina

Ctrl - If you hold down the Control key when selecting (left clicking)
files, you can select multiple files from the given list (i.e. you could
select the email's from Bert, Judy, Mike & Sally) and then drag and drop them
all at once to the Deleted Items, or some other sub folder, or you could
right click and select any action of the menu that appears (cut, delete,
copy...)

Shift - If you hold down the Shift key when selecting two files, you will
automatically include all of the files in between the two you selected.  For
example say you want to delete all of the emails from Linda - you would
select (left click) the first e-mail from Linda, press and hold the shift
key, and then select the last e-mail from Linda - you will now see that all
of the e-mails in between the two you selected are also selected
(highlighted).  You can now delete or drag and drop all of these e-mails as
one group.  This may not seem like much in the above example where there are
only three e-mails from Linda - but the same procedure would work if there
were several hundred e-mails from Linda - this can be a considerable time
saving short cut.