I'm sure you can't find them with Explorer. They are embedded in an "Office Data File" which contains them. In my system with Win XP installed on partition F, my Outlook files are located at F:\Documents and Settings\username\Local Settings\Application Data\Microsoft\Outlook. The main file appears to be simply named Outlook. There's also a file called "mailbox", which is also an "Office Data File" file type. I also see files named archive and backup there; they are also Office Data Files.
I can't open them from Explorer. Via a Command Prompt window, I see that full names: Outlook.pst and mailbox.PAB. Outlook.pst is about 108MB in size; mailbox.PAB, about 265KB.