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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.
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.
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 brief 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: