How to back up a large mail file to an external drive?

I have a mail box with 18 sub folders/boxes which covers an activity over the last 10 years which has now ceased but I legally have to archive'/keep them for 7 years - I have a new Seagate external hard drive to which I have successfully moved my documents and numbers files and spreadsheets but to move the mailbox seems to be difficult -I have formatted the HD to exfat (I think it was called) so it is possible to read in the future if necessary - how do I perform this task please

[Re-Titled by Moderator]

Original Title: I WANT TO BACK UP A LARGE MAIL FILE TO AN EXTERNAL DRIVE TO BE ABLE TO KEEP THAT FOR LEGAL