No worries Lagu it wasn't that clear when I read it as well.

You need to go to the following location:

C:\Documents and Settings\'user name'\Local Settings\Application Data\Outlook

All the .PST files reside in this location!

*NOTE*
The ...\Local Settings folder is often hidden so make sure you have set 'Windows Explorer' to view Hidden files by selecting the following menu option in 'Windows Explorer':

Menu : Tools
Menu : Folder Options
Menu Tab : View
Checkbox : Show hidden files and folders