
The good practice is to create a backup copy of the data kept in the Microsoft Outlook. In case of the users, who don't work with an exchange mailbox, the folders with its contents are saved locally, in a single pst file.
To check where the pst file is kept, go to the Outlook menu File then choose the Data File Management option. The new window will display (Fig. 1.). The full path to the file can be found in the Filename column.

Fig. 1. Datafile location window.
Additionally, we can click the Settings button for the file. The new window will open with the location of the pst file in the Filename field. The path can be easily copied to the clipboard (Fig. 2.).

Fig. 2. Window with the pst file settings. In the Filename field is the full path to the file.
If you have more than one data file, in the window from Fig. 1 you will see more than one pst file.

My Microsoft Outlook came bundled in 2010 Pro Plus and it doesn't have a app data (.pst) file. I can't open Outlook to do as you suggest above. Can you guide me through how to create the data file I need to open Outlook (and use it!)? Thanks.