Outlook cannot export your emails, folders, etc. directly from the Outlook Web App to a .pst file, but you can export to a CSV file.  To export a .pst file from your company email, you must use a desktop email client.  The Outlook desktop app is the easiest way to export for an O365/Outlook email address. 

Exporting a .pst File

To export a .pst file from the Outlook desktop app:

1. Click File at the top left of the screen.
2. Select Open & Export. 
3. Choose the Open Outlook Data File option to download a .pst file.