All your mail, calendar, contacts, tasks, etc. are stored in a PST file,
unless you connect to an Exchange server. The file location is probably in
your documents & settings folder for your profile, presuming Win2k/XP. You
can do a search for *.pst on your hard drive (make sure you look in
hidden/system folders as well).
In fact, I'd recommend moving the PST file (and all your local data) out of
the profiles directory to another folder you've created on your hard drive -
with Outlook closed, move the PST file to c:\data\outlook or whatever you
want to call it (might also want to rename it to yourname.pst)...then open
Outlook, and when it says it can't find the file, point it at the new
location, and you're good to go.
To move your other data, right-click on My Documents on the desktop, go to
properties, and use the Move button.
Keeping your files out of the profiles folder means that if your profile
gets corrupted or deleted or anything, your data is still safe.
