.pst - depends on what os your using too, easiest way to find them is to got to control panel (if 64bit select view 32bit control panel items) mail, and click data files, will show you the location of your files
default location on vista is C:\Users\username\AppData\Local\Microsoft\Outlook
not too sure on xp as memory isnt as good as it was
C:\documents and settings\username\Application Data\Local\Microsoft\Outlook - or something like that