If I were you I would leave Pegasus as is and backup the mailbox folder(s) to the external drive but if you really want to move them you can.
You can findwhere the Pegasus mailbox folders are located by going to Help > About Pegasus Mail then clicking the Info button. The entries for the Home and New Mailbox Location should be the same and show the path to the mailbox folder of the current Pegasus Mail user. You can change this location using the utility called PCONFIG.EXE which is located in the Windows folder where Pegasus Mail is installed. Once in PCONFIG select the Standalone Configuration where you will find the setting to specify the path the home and new mailbox. With Pegasus closed you would copy your Windows mailbox folders to the new location then run PCONFIG to change the paths. Confirm via the Info button that Pegasus is now using the new mailbox location. Once all is working you can delete the original mailbox folders.
IMPORTANT NOTE: The PCONFIG utility is a DOS application so will not run under Windows 7. If you have Windows 7 you will either need to use a DOS emulator (like DOSBOX) or run PCONFIG on a WinXP machine and then copy the resulting file to your Pegasus install.