No. That would never work. I would use one of the methods we post here
daily.
Take a look at these pages for info on Outlook data backup or transfer:
http://www.slipstick.com/config/backup.htm
http://www.howto-outlook.com/Howto/backupandrestore.htm
http://office.microsoft.com/en-us/assistance/HA010771141033.aspx

You can copy the PST to any location you want and use the Mail applet
(Data Files button) in Control Panel to add it to the profile.

I keep a PST in T:\Outlook so if the OS breaks I don't have to worry
about losing mail created in between backups.

There is no 'right directory' for OL data files, there is a default
directory.
The OL data file can be located in any suitable location on the PC, eg
Documents folder.
If copying from cd, once completed, in Explorer locate the file, examine
properties & deselect the read only attribute.
Then open OL, and File>Open>Data File.........browse to the location of this
file & open it.
You then have a number of choices, leave this set of Personal Folders open
or copy data from it to the origonal set of Personal Folders, then close it