C:\Documents and Settings\<your logon name>\Local Settings\Application Data\Microsoft\Outlook
is the path for a .pst in WinXP. If you didn't save that from the old PC i am afraid you are stuffed either way.
When you search first go into Folder Options in Control Panel and choose the 'show hidden files and folders' option, and untick 'Hide protected operating system files' which is a few options under the first one. Then search My Computer - you will find any .pst files on the computer, including the one above providing you have run Outlook 2002 at least once.
My advice for the future is to do what i do: set-up Outlook and then shut it down, move the .pst file into My Documents and then start up Outlook again. It will get upset and ask for the .pst file. Point it to My Docs and the file you moved, shut down Outlook, restart it again. Then your mail lives in My Docs so you only need to save My Documents when you re-install.
When you do re-install you run Outlook, shut it down, delete the little .pst it makes (at the address above) and point it to your saved My Docs one when it awakes and gets upset.
Also, copy your Favourites file into My Docs, and use TweakUI (part of Powertoys, free download for all versions of Windows, but the XP one is a different file) to change the location for Favourites to the one in My Docs (in My Computer/Special Folders option in TweakUI). Again, you only need to save My Documents when you re-install Windows.
Papercup