outlook express stores all folders in their own .dbx files. Pull up the find files and do a seach for *.dbx. You should see a whole slew of them out there.
You can copy one folder, or all folders from one place to another. If you have one install of OE running, and you want to move it to another install, pull up the second outlook, go to "tools" properties, and maintance, then check the "store" folder option to see what path it's located in. If you have more than one user on the machine, you'll have multiple profiles and you'll have to verify which user is tied to which profile.
If you are doing a fresh install of outlook, you need to actually open up outlook express, and set up the user profile before you copy over the *.dbx files.