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Outlook's PST or Personal STore is a single file that holds your email, contacts and more. You can use Outlook itself to find the location of the file.
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PST stands for "Personal STore" - as in your personal mail storage. PST files are really fairly complex databases that contain your mail, your calendar, your contacts and even more, when you use Microsoft Office's Outlook mail program.
The default location has changed a time or two over the years, but mostly because the default location of many things changed between Windows 9x and Windows NT/XP and later. And of course there's always a chance that your PST is stored in some other, non-default, location.
Rather than telling you where the default location is, let's use Outlook itself to tell you the exact path of your PST file.
Update: see below for a video describing the process for Outlook 2010 in Windows 7.
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I'm using Outlook 2003, but the technique is similar for Outlook XP and Outlook 2000.
The easiest and quickest way I know of is to open the "tree view" of your folders, if you haven't already:

Each top level item, normally called "Personal Folders", or "Outlook Today", represents a separate PST. Right click on it and then select Properties:

Now click on the Advanced button:

And there, right in the middle of everything, is the Filename and the full path to the PST. In this case you'll notice that I'm most definitely using a non-standard location. Yours will most assuredly be different. The default location under Windows XP is typically a location underneath "\Documents And Settings\username", where "username" is your Windows login account name.
If you're looking for your .pst in order to repair it, here's a breif overview of scanpst, the .pst repair tool that is included with Microsoft Office.
This video walks you through three different ways to locate your .pst in Windows 7, only one of which is to actually use Outlook 2010:
Article C2536 - January 29, 2006
I did exactly what your directions said and found that my Outlook files are in C:\Users\ndc\AppData\Local\Microsoft\Outlook\Outlook.pst. Only one problem. When I open Explorer to find that file, AppData is not listed anywhere ???? I need to backup my calendar, contacts, and e-mails. I even downloaded a program (Microsoft Outlook Personal Folders Backup) but it doesn't work. It said that there would be a 'Backup' option on the File menu but there isn't.
Posted by: Nadia at February 27, 2012 4:52 PMerror : "outlook1.pst is missing"
Posted by: Parthi at March 19, 2012 1:22 AMthe above said error is showing while open the outlook 2007 after upgrade from outlook 2003 to 2007
Hi Leo, I have similar situation as Nadia. I could not find the pst file. My windows7 OS crashed and upon re-installation, a search found the old .pst file in C:\Windows.old\Users\PFS02\Local Settings\Application Data\......\Microsoft\Outlook
Posted by: Leong Tho at March 25, 2012 1:43 AMBut Windows Explorer could not locate C:\......\Local Settings\....
i.e. there is no Local Settings folder after ...\PFS02\...
So, where can the file be?
I have the following issue. I'm using Outlook Express with Win XP. My Store Folder is on drive D: but I see that my outlook.pst file is on drive c: and is 4 gb. I want to move this file on drive D: too but without harm and change anything on my e-mails. Could you help me about that?
28-Mar-2012
Posted by: Nas at March 26, 2012 2:39 AM
Now I just saw that I have also installed Microsoft Office Outlook 2003. So if you say that pst file is not used from Outlook Express can I deleted it? The strange thing is that this file was last modified on 26.03 but I never ever use Outlook 2003
30-Mar-2012
Posted by: Nas at March 29, 2012 12:12 AM