Frank,
What email client are you using? Oultook or Outlook Express?
Outlook you'll have one file containing all of your email data (mail/calendar/contacts etc) possibly a personal address book (PAB) outlook address book (OAB)
Outlook Express is a bit messier, you'll have individual files of each folder (i.e. Inbox.dbx, Sent Items.dbx etc etc) you'll have to export your contacts to a CSV (comma seperated value) file also.