Tools > options > preferences
Click on email options
Check and make sure that the "save copies of messages in sent folder" has not been accidentally unticked.
To answer your questions:
A PST file is an outlook personal folder file used for storing email messages.
By default (unless changed) you will normally find your PST file/s located in the directory at:
C:\Documents and Settings\<username>\Local Settings\Application Data\Microsoft\Outlook
You might also be interested in this lesson on outlook:
☺ When everything else fails, read the instructions.