The easiest way to backup your email, calendar, and contacts is to copy the PST but finding it is a problem for many people, in part because it’s in a hidden folder. From Outlook, go to File, Data File Management. Select the default PST and click Open folder. This PST will be selected in the Explorer window.

You’ll need to close Outlook and wait a few minutes before you can copy the PST as Outlook keeps it locked.

If Outlook isn’t open, you can paste this line into the address bar of Windows Explorer (or Run command on the Start menu) to get to the default location. It works on any OS (including Vista) and will open the folder without enabling ‘Show hidden files and folders' in Windows Explorer’s folder options.
%USERPROFILE%\Local Settings\Application Data\Microsoft\Outlook

If you have more than one PST, use the Details view to see the file sizes and folder dates. The PST with the most recent date stamp is usually the correct PST. If you have more than one with the same date stamp, they are PSTs you have open in the profile.