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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
Hello Leo and can you please assist me with issue my outlook 2003 running on Microsoft Windows XP, Home Edition Version 2002 Service Pack 3?
Posted by: Toan Nguyen at November 29, 2011 8:30 AMMy personal settings are gone follow a restart and I had to re-install outlook and that started me fresh - no contacts, no emails, nothing! I have been trying for 3 days to figure out how to read the back up or at least get my outlook info back.
Thanks
Toan Nguyen
Hi leo, running scanpst.exe to repair my broken pst file but everytime scanpst.exe fails giving fatal error: 80040818, please assist me in my outlook pst repair.
I am using Windows XP service pack 2.....
30-Nov-2011
Good advice except when you are trying to recover data from a pc that wont start windows (let alone outlook)!
26-Dec-2011
Hi Leo, I am using Windows XP outlook ex 7. I had a flag came up on my desktop says Compact your emails. Once this was done I have lost all my "sent" emails as from 1 Aug 2011 up to yesterday. Can you assist me please can I retrieve those sent emails again
Thank you
Posted by: Fanie Kempen at January 28, 2012 6:31 AM@Fanie
Posted by: connie at January 28, 2012 8:46 AMYou might need to restore the archive. This other article on Ask Leo! has some info on that:
The contents of my inbox disappeared, can I recover?