How to export windows mail folders

I've exported my Windows Mail messages and contacts and saved them on an external hard drive, but I don't seem to be able to export and save my email folders. I found some instructions online but they're not working for me. I've held down Ctrl and selected all folders as instructed, but when I go to File>Export, all I get is messages and contacts...no option for saving my folders. The instructions show a button where you can click either all or selected folders but I don't see it. How do I export and save my folders?

Maybe I didn't make myself clear. When I exported my messages, I got the inbox, sent mail, deleted items, etc. but not the folders shown in this screenshot. How do I save them?