Outlook by default saves the .PST file in the user profile directory structure (I forget where exactly; possibly under Local Settings\Application Data\Microsoft\Outlook) in a file called OUTLOOK.PST
And sometimes when you log in, your original profile gets mangled and a new one is created for you. Most stuff is transferred into the new profile, but not everything. Looks like the .PST file was something that did not move over.
Click Start -> Find and search for *.PST files.
When it finds one under your user profile, then just open Outlook, select File ->Import, then choose to import a PST file, navigate to the .PST file you found with the Find, and import everything in the Inbox.
hope this helps