I'm sure most network admins have come across that one user who has a huge multi-gigabyte mail file that absolutely cannot have a single email deleted from it.
In these instances the answer many IT departments fall back on is to export some of the data to a PST and put the PST file into another location.
This is a false economy. Please avoid it!! It's a false economy because you'll end up taking up more space. Exchange and most other mail systems have a pretty neat feature called Single Instance Storage. Put simply, if I send a 5MB email to 100 people it'll take up 5MB on the mail server as 100 pointers to a shared object will actually be sent. Total disk space used? Maybe 10MB for the mail, pointers, sent/received information and other overheads.
If those 100 people then export that mail to a PST file it'll take up 500MB (5MB*100) and that data is probably on the users home drive, local drive, pen drive, somewhere else so not only have you lost control of the location of what really could be sensitive data you've also lost the single instance capability of your mail system and wasted space on other systems.
If the user can't be persuaded or taught to delete emails then I'd be inclined to leave them be. At worst I'd give them a storage instance all to themselves. If you are hosting data on a SAN or NAS you should be able to move those storage instances around to best balance the disk space requirements without sacrificing single instance and having some protection around keeping confidential mail items in one place.