If there's no pst-file Outlook should create a new empty one. It's strange it doesn't.

I don't understand your mentioning "account" (accounts look like e-mail or Exchange) and "control panel" (doesn't look like creating a file).

Things to try:
1. Are you sure the .pst file is gone? Did you look in Explorer?
2. Can you restore an old version from your backup? Or don't you backup that file?
3. Now make a new Windows account (Windows user) and see what happens if you run Outlook there.