The locations below should be stored under a user's "My Documents" to help with easy backups and profile migrations, but since they are not, I've included them for your convenience.
Outlook Express
C:\Documents and Settings\[username]\Local Settings\Application Data\Identities\{EF95...0DD}\Microsoft\Outlook Express
Windows Address Book
C:\Documents and Settings\[username]\Application Data\Microsoft\Address Book
Microsoft Outlook
C:\Documents and Settings\[username]\Application Data\Microsoft\Outlook
-or-
C:\Documents and Settings\[username]\Local Settings\Application Data\Microsoft\Outlook
( Win2K WinXP Windows 2000 XP )