OE stores mail in the following way
C:\Documents and Settings\%user%\Local Settings\Application Data\Identities\{long number}\Microsoft\Outlook Express
%user% being the account in question.
The "Local Settings" folder is flagged as hidden/system so you'll need to enable displaying of these items first.
Your Address Book is stored
C:\Documents and Settings\%user%\Application Data\Microsoft\Address Book
The "Application Data" folder is also hidden.