How to manage .pst files in Outlook 2007, in Outlook 2003, and in Outlook 2002 check about half-way down for 'transfer'.
Location of your pst file can genarally be found by selecting 'mail', right click personal folders, select properties for..../advanced.
Second window will give the location. Normally something like Documents and Settings\JACK\Local Settings\Application Data\Microsoft\Outlook\Outlook??.pst (unless you have changed the default).