In the case of Thunderbird, the mail folders are stored in a default location of C:\Documents and Settings\<your Windows username>\Application Data\Thunderbird\Profiles\<your profile> under Windows XP and C:\Users\<your Windows username>\AppData\Roaming\Thunderbird\Profiles\<your profile> under Windows 7. However, since a file can be associated with any number of programs (.txt files, for instance, can be opened with Notepad, Wordpad, Word, WordPerfect, Works WP, Notepad++, etc), it's difficult to easily identify which program you need without looking up the extension online and making an educated guess unless they're located in a folder named after the program used to open them.

John