If you're connecting Outlook to an Exchange account there won't be a .pst file.
The .pst file is basically the local storage of a mailbox when you use POP3 for your email (eg the mail lives solely on the local machine), or the file you'd use if you exported the mail to a local file.
The .ost is the local copy of a mailbox which actually resides on an Exchange server, and is used when you've enabled cached mode in Outlook.
To find the files and their locations for any mailboxes you have configured in Outlook, go to File, Account Settings, Account Settings..., and then select the Data Files tab. You'll see one file location per individual mailbox configured in Outlook
and you'll see where they are Exchange mailboxes the relevant file is an .ost file, while for POP3 it's a .pst.