C:\Documents and Settings\Administrator\Local Settings\Application Data\Identities\{xxxxxxxx-xxxx-xxxx-xxxx-xxxxxxxxxxxx}\Microsoft\Outlook Express
The xxx will be a series of numbers and letters different on each machine/user. Back it up or copy it to somewhere else. I usually start with identities. I've found that by creating sub-folders such as monthly archives for the inbox and sent, you can do those and then empty them, moving them back into the mail folder when you need them. This can be automated with scripts or a scheduled backup.
If you are a user other than administrator, then substitue.
Don't forget the address book which is in another folder.