If you are using Outlook 2003, you can set up the location of your mail folders from Outlook by going to:
Tools - Options - Mail Setup - Data Folders
The Personal Folders, or .pst file, is usually in C:\Documents and Settings\{your login name}\Local Settings\Application Data\Microsoft\Outlook\Outlook.pst.
If you had an Archive file, it should be in the same folder and called Archive.pst.
Can you find anything at all in those folders in the C: drive?
Using the same 'Outlook Data Files' option window you can click Add and create a new Personal Folders file. e.g. Newfolders.pst.
From Tools - Options - Mail Setup - Email Accounts you can change the default location where new messages are being delivered to point to your new file.