I don't know for XP Media edition.
As I understand it, for Vista and Win 7 it's at
C:\Users\<username>\AppData\Local\Microsoft\Windows Mail\
I would guess therefore that for XP it's somewhere in C:\Applications and Settings...
Try a Search on your machine for "Windows Mail" and follow any trails that offers.
Some of the stuff lives in the Registry. Be careful if you go in there!