It's hidden under documents and settings - look for an "identities" folder - under it will be a few subfolders, I can't remember the exact names and order (haven't touched this in years) but it's under there somewhere.
C:\Documents and Settings\[user_name]\Local Settings\Application Data\Identities\{ED7847DB-9402-4CA2-8A2C-2B05C05338F4}\Microsoft\Outlook Express\Inbox.dbx
...where [user_name] is your loginname to your local machine. To import you just have to point your current email program to this folder to import your emails.