First, Outlook uses .pst files. Period. Not just for archiving but also as it's main data file. If an Exchange server is involved, then there is no .pst. If offline files is being used, look for a .ost file.
If you have no Exchange server and you have no .pst files on the local machine, then it must be out on the network somewhere. In the folder list, right-click "personal folders" and then click the "advanced" tab. That'll tell you where the data file is.
Or else you're using Outlook Express and that uses .dbx files I think.