Run Outlook Express. Click on the Tools menu and select Options . In the box that appears, click on the Maintenance tab. Finally, click on the Store Folder button. The dialog box that appears will display the path to your mailbox.
If you wish you can choose to re-locate your mailbox to a more convenient location, or in a multi-user environment like XP/2000 you can move it to a location accessible to all users - thereby creating a common mailbox for all (be sure to check file permissions though).
I would second jsteff's suggestion to create a backup of this folder (and your "My Documents" folder) at regular intervals. Older versions of "Outlook Express" may not allow you to import these files when you need to restore a backup - in this case simply copy the files over - but be sure to clear the "Read-Only" property of the files if copying from CD-ROM.