In all liklihood you have Windows set to NOT display system/hidden directories, which will result in the search function not finding files within those hidden directories.
To test this, click Start -> My Computer
Then, click Tools -> Folder Options -> click View tab
Find the entries Hidden files and Folders and change to "show". Also un-check the "Hide protected OS files" option.
You should now be able to locate the directory, by default called called:
X: Documents and Settings
<computer.account>
Local Settings
Application Data
Microsoft
Outlook
outlook.pst