When you only have access to your Exchange Server through OWA and want to archive the contents, you need to access it as an HTTP account. Use http://owa.domain.com/exchange/username/ format for the HTTP URL in Outlook.

After you connect to your Exchange mailbox, you can drag messages to a pst on your hard drive to archive them.

Note that when you access your mailbox using the HTTP protocol, you cannot use the special folders: Calendar, Contacts, Tasks, Journal.

Notes are readable, but you can't create new notes.