There's probably an easier way to do it but this is what I do.
Search for outlook.pst (it's a hidden file so change your search settings) and move it to the new location where you want to store it e.g. from Documents and Settings to say Data/Outlook. Ensure the original is no longer in the original folder.
When you next open Outlook you'll get an error message that the file can't be found so navigate to the new location and open it up.