if you are using outlook then office stores it all in a file called outlook.pst search for this, you may also find the archive file as well. They should be in the following location C:\Documents and Settings\<USER>\Local Settings\Application Data\Microsoft\Outlook
I am using XP and the mail is Outlook Express. The mail was on my PC. I think it started to compact and dont know if I interupted this. Anyway all the mail for the past 18 months seems to have gone. I tried a system restore to the day before but the mail is still not there. Im worried as to whether it could have been taken thru some kind of spyware and forwarded to some nigerian scammer. Seems strange it just went.