Outlook stores all the e-mail, contacts, calendar etc. in a single PST file.
If you need to find the exact location and name of the file, rather than searching, you can get this directly from Outlook.
1. With Outlook98 or Outlook2000, make sure you have View / Folders selected
2. Right click on Personal Folders
3. Select Properties for Personal Folders
4. Click on the Advanced button
5. Under Filename, it will show the path and name of the current PST file.