Assuming you Microsoft Outlook and not Outlook Express, then look for files
with the following extensions.
*.PST - Stores messages, contacts, calendar, tasks, journal, .etc.
*.PAB - Personal Address Book (used primarily by Outlook 97/98, but later
versions do support it)
Location tends to vary based on Operating System and Language. Best advice
is to use Windows Explorer to search for them. (Don't forget to configure
Windows Explorer to show all hidden/system files and if using Windows XP,
make sure you configure the search to look in/for hidden/system files and
directories.)
If looking for more information on backing up Microsoft Outlook data, see
http://www.slipstick.com/config/backup.htm