C:\Documents and Settings\<your name>\Local Settings\Application Data\Microsoft\Outlook
Just replace <your name> with your name (without the angled brackets). Some of the directories in the path are hidden, so you'll have to set Explorer to show hidden files. If you don't want to do that, you can just type in the entire path into the address bar and it'll take you right to the directory. All your e-mails and Outlook folders are stored in Outlook.pst.