All of your Outlook Express 5/6 mail folders and messages, and all of your subscribed newsgroups and messages are stored in one directory, called the Store Folder, which can be determined by selecting "Tools| Options| Maintenance| Store folder" in Outlook Express.
Under the Store Folder, you can find several .dbx files. The 'Folders.dbx' file is the master index of the entire store, which stores the tree structure of the mail folders and additional information. The 'Offline.dbx' file stores IMAP and Hotmail actions, if you have an IMAP or Hotmail account. The 'Pop3uidl.dbx' file keeps track of messages left on a POP3 mail server.
All remaining .dbx files correspond to Outlook Express mail folders with the same name. For example, Inbox.dbx corresponds to your Inbox mail folder in Outlook Express, Outbox.dbx corresponds to your Outbox mail folder, and MyFolder.dbx corresponds to MyFolder mail folder.