I take it you are referring to your personal outlook file and not on a domain? There are actually about three files if you are dealing with Outlook 2003, and as I recall 7 files for Outlook 2007. Remember that Outlook MUST be closed in order to back up the files.
The default location of the files is (for the user User): C:\Documents and Settings\User\Local Settings\Application Data\Outlook\
The main data file (contains e-mails, contacts and all the rest of your own data) is Outlook.ost. There is also Outlook.pst, and there may be other data and settings files in this folder. If your data file is not here (might not be if you upgraded from an older version, aren't using Windows XP, or have recovered a backup) you can find the exact location by going to File > Data File Management... which lists all of the data files.
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