By default, all data are stored in [server installation patch]\data folder. You can specify another folder by Web Access->Storages.
The user mailbox locates at [root folder]\[domain name]\user\[user name]\mbx by default. You can also specify the mailbox to another path by User General Setting->MBX Path. Please be reminded to make sure this folder is not used by another user; otherwise, two users share the same folder. In some case, you can make use of this feature to create a public mailbox so that multiple users can access the same mailbox.
For example, you can create a user named "public@domain" with read-only permission and create another user named "public-admin@domain" and set its mailbox to the same folder of "public@domain". "public@domain" only has read access to the mailbox and has no right to delete/move the mail in the mailbox. To manage the email in this mailbox, you must logon as "public-admin@domain".
See Also
Set up domain and user Domain Administration Incoming/outgoing Filters List Administration