Outlook 2000, 2003, 20008 store all of your email data in a single file, with the .PST extension.  The default file is called Outlook.pst.  Microsoft makes this folder and file hidden.  In order for you to back it up, you will either have to navigate to the file or search in the backup wizard for *.PST.  
  
Where exactly is the PST located ?

1) By default, Outlook .pst files are hidden files. On Windows XP, they are usually located in the C:\Documents and settings\\Local Settings\Application Data\Microsoft\Outlook folder.


2) On Windows Vista, and Windows 7,  Outlook files are usually located in C:\Users\\App Data\Local\Microsoft\Outlook folder. 

If you want to make hidden files and folders visible.  You can do that in Windows Explorer:

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You will now see the folders under Documents and Settings or APP DATA in Windows 7