If you configure AutoArchive (in Options), you can specify the name of the Archive file and where it goes - so you can put it somewhere it gets backed up. You can then Open it in Outlook, so that everything in there is still accessible as before. However, that single file can get big too, so you can run in to problems later.
If you create multiple PST files, you can Open them all in Outlook, and move messages between them e.g. create files for 2006, 2007 & 2008 and archive messages by year. Or do it by category. But my main point is that Archiving (auto or manual) isn't about having messages go away, it's about managing them in a way that suits you.