Your email folders are most probably stored in a folder with a name very much like the following:
C:\Documents and Settings\LeoN\
Local Settings\Application Data\Identities\
"The 'trick' is that you can click in it and move a cursor back and forth to reveal it all."
(I had to break it up so that it would fit, but that's one long path to a folder.)
The parts in red, (My login name, "LeoN", and "4E103119-B317-4C55-A74A-4383576140DF") are also almost certainly different in your case.
That's actually enough for you to go spelunking and find it on your own now, but let's do what I did to get that in the first place.
Let's let Outlook Express tell us.
Click on Tools, Options and then on the Maintenance tab. In the resulting dialog box, you'll see a Store Folder... button:
Click on Store Folder... and you'll get something very much like this:
Now that's only showing us the first part of that incredibly long path. The "trick" is that you can click in it and move a cursor back and forth to reveal it all. In fact, you can click-and-drag to select the text completely, and then copy/paste it to somewhere else where you can see it completely.
As I've already written about, Outlook Express is not available in Windows Vista, but the very Outlook Express-like program Windows Mail is.
To get the Windows Mail store location, once again go to the Tools menu, Options item, the Advanced tab on the resulting dialog, then click the Maintenance... button and you'll see the familiar Store Folder... button. In Windows Vista your Windows Mail store is likely in a folder similar to:
Outlook Express is also not available in Windows 7. In fact, there's no mail program at all by default. The Microsoft-recommended option is to download and install the once again very Outlook Express-like program Windows Live Mail.
To get the Windows Live Mail store location, type ALT+M to get the menu drop-down, click on the Options... menu item, the Advanced tab on the resulting dialog, then click the Maintenance... button and you'll see the familiar Store Folder... button. In Windows 7 your Windows Live Mail store is likely in a folder similar to:
C:\Users\LeoN\AppData\Local\Microsoft\Windows Live Mail