If it is outlook and not outlook express it saves it as a .pst file under your Documents and Settings>Username>Local Settings>Application Data>Microsoft>Outlook

When you are in Outlook you can open the .pst file by going to File > Open > Outlook Data File

Open the file. To "unarchive" it, as far as I know, you just move it to wherever you want it to reside. I don't believe there is an "unarchive" function of any kind.