I think its this folder
C:\Documents and Settings\Username\Local Settings\Application Data\Identities\{Random Stuff Here}\Microsoft\Outlook Express
You'll have to have "show hidden files and folders" on
Also, if you just goto file --> export, you can send it to Outlook, which has its own export fucntion, but it can export like a Personal Folder File or something, which is all the data in a single file.