Where are my Outlook Express Files Stored?

Make sure show hidden files is enabled under Windows Explorer under Tools->Folder Options->Views->Show Hidden Files and Folders

The DBX files that Outlook Express uses are located in:

c:\ (or whatever drive windows resides on)
Documents and Settings
Username (your username)
Application Data
Identities
GUID Identifier (random string like {3B0FA092-2222-1111-A1B2-111A1AA1AAA11}
Microsoft
Outlook Express