Well I hope you didnt delete the old machine data, with your OE folder.

When you export from OE, you need to select your personal folder and also check the include sub-folder option. OE then creates a backup.pst file which you use to import to your new machine, and hopefully it contains all your contacts and also saved folders and emails etc.

The actual file is stored in C:\Documents and Settings\USER\Local Settings\Application Data\Microsoft\Outlook

This is for xp, but could be different. Hope it helps.