Since if you are using Exchange Server account, all items are delivered and saved on server.
You can configure Outlook to keep a local copy of all the items. It is stored in OST data file on hard drive of your system.
The file extension .ost is used for the same. You can create it when you set up Outlook. This file resides on your system saving all your Outlook data informations used with Exchange Account.
To find location of OST file follow up the given steps:
Just follow the path shown in the text box this will give you OST file storage location.
Find location of OST file in Outlook 2003 and previous versionsAbove mentioned steps will let you know how to find OST file in your respective OS and Outlook version