All of your Outlook Express 5/6 mail folders and emails, and all of your subscribed newsgroups and emails are stored in one directory, called the store root directory, which can be determined by selecting Tools| Options| Maintenance| Store folder in OE.
In the store root directory, you can find the dbx files corresponding to the mail folder in Outlook Express. For example, Inbox.dbx corresponds to your Inbox mail folder in OE and MyFolder.dbx corresponds to 'MyFolder' mail folder in OE.