You can probably safely ignore the archive.pst file, unless you know there's something in there that you want. Transfer the outlook.pst file to whatever location you require - it doesn't have to be in the Application Data tree, that just happens to be the default location.
Then load up Outlook 2000. Go to File--Open-->Personal folders. Locate the outlook.pst file and click okay.
Now in Outlook it is really useful if you have the Outlook folder tree open. If you click on the title that will be saying "Outlook Today" or "Inbox" or "Contacts" depending on what you're currently viewing, you'll see the folder tree appear. At the top right, there's a little pushpin icon, which you can click to make the folder tree remain in place.
In the folder tree you will see an entry "Outlook Today" - the current Inbox, Journal, etc, folders come of this. You will also see a "Personal folders" tree - that's the outlook.pst file you've just opened.
Now for the totally non-intuitive bit!
Right-click on the Personal folders tree, and choose properties. At the bottom of the dialog box, you'll see an option "deliver POP mail to this folder" (or something like that). Tick that box and click okay.
Close and re-open Outlook.
Now the names "Outlook Today" and "Personal Folders" have swapped round. Right-click on "Personal folders" and click "Close".
That's it.