Not possible. From the known issues list at http://officebeta.iponet.net/en-us/products/FX101517941033.aspx#16:
"Due to some data loss bugs, Exchange mail delivery to a PST file is not supported in Beta2."

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Sue Mosher, Outlook MVP
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> Have finally gained access to my exchange mail, but now I cannot change where
> the mail is delivered. Want it to be delivered to my personal folders and
> there is no drop down to change the exchange mail box to personal folders.
> Help me fix this little problem.
Wes - 30 May 2006 14:35 GMT
I hope they are working on this issue and will have it corrected for the
final version.
> Not possible. From the known issues list at http://officebeta.iponet.net/en-us/products/FX101517941033.aspx#16:
>
[quoted text clipped - 4 lines]
> > there is no drop down to change the exchange mail box to personal folders.
> > Help me fix this little problem.
Chen Xiao - 31 May 2006 01:55 GMT
A work around of this problem:
1) set the inbox of your exchange server accoutnt as the default folder.
2) Create a new personal folder with PST data file.
3) Then add the rule to forward all the email received in your exhange
server account to the new PST data file folder.
Everything looks good.:-)
> I hope they are working on this issue and will have it corrected for the
> final version.
[quoted text clipped - 7 lines]
> > > there is no drop down to change the exchange mail box to personal folders.
> > > Help me fix this little problem.
Wes - 31 May 2006 02:10 GMT
Thank you very much. It worked great. Keeps my work mail free.
> A work around of this problem:
> 1) set the inbox of your exchange server accoutnt as the default folder.
[quoted text clipped - 14 lines]
> > > > there is no drop down to change the exchange mail box to personal folders.
> > > > Help me fix this little problem.
Hi Wes,
I still can not connect to my exchange server.
There's always a message stating that my local network connetion does not
have default gateway ip address or else, but when using oulook 2003,
everything is ok.
Needs your advice.
Thanks.
> Have finally gained access to my exchange mail, but now I cannot change where
> the mail is delivered. Want it to be delivered to my personal folders and
> there is no drop down to change the exchange mail box to personal folders.
> Help me fix this little problem.