If the pst file is going to be brand new, with nothing being transfered from a previous pst file, then the instructions below should get it done. The example I've given is from Outlook 2002.:

http://support.microsoft.com/kb/286146/

1. On the File menu, point to New, and then click Outlook Data File.
2. Under Types of storage, click Personal Folders file (.pst), and then click OK. The Create or Open Outlook Data File dialog box appears.
3. Accept the Outlook folder as the default save location or provide a custom save location.
4. In the File Name box, create a custom name for the personal folders (.pst) file, or accept the default name. Click OK, and then the Create Microsoft Personal Folders dialog box appears.
5. In the Name box, you can type a custom title for the personal folders (.pst) file, or accept the default title of Personal Folders. This name appears on the Folders List, and is applied to any shortcuts made for the personal folders (.pst) file on the Outlook Bar. You can select a custom Encryption Setting and/or a Password for the personal folders (.pst) file. After you enter your desired settings, click OK.

NOTE: For more information about Encryption Settings, see "Notes About the Personal Folders (.pst) File" in this article.
6. The personal folders (.pst) file that you created is added to your Folder List. To view the Folder List, click Folder List on the View menu.
_______________

To import data from an old pst file to your new one, see the link below:

http://support.microsoft.com/?kbid=287070

Hope this helps.

Grif