This is not a for sure correct answer, but I would suggest doing a search from your start menu for All Files and Folders for .dbx. Please inlude the "." before the dbx. This should bring up any files in your hard drive that are email files.
You
might need a dbx file converter in order to open them. Not sure about this. If you do, then a free one is available on the following link:
Free download ABC Amber Outlook Express Convertor, convert, backup and archive DBX mails to CHM, PDF, HTML, RTF, HLP, DOC, TXT I
think that it is available to use for a limited time without paying for it.
I too, have been prompted by the computer to compress my email files. I have never done it for fear of what may happen. Also, my hard drive is HUGE. So, I have never seen a reason to compress any files.