First, you can poke around Google looking for a program to automate the process if you want.

Or, you can just start digging around in C:\Documents and Settings\<yourusername>\Application Data\Mozilla

Application Data is a hidden folder, so you'll have to make those visible. You will also need to drill down another level or two in the directory structure, but you should be able to figure it out based on the names from there.

Also, this should be covered in a FAQ on the Mozilla Thunderbird site.