Where are my emails located?

I use Outlook 2003 with Exchange and organise my emails into folders on my local drive. When I am looking for an email using Advanced Find and find it how do I find out which folder it is located in?

This would be very useful as other emails on the same topic would also be in the same folder.

I know I can just move the email I have found to a specific location but that doesn’t help me to find where I put similar emails.