Over a wan, where most users connect via remote desktop tothe small business 2003 server where Exchange Server is installed, where can I find each users emails? I'm a newbie and am tasked with going through an ex employees mailbox. Thanks.

Use a tool called exmerge to get the mailbox out of the exchange database. Config your account to use it http://support.microsoft.com/kb/823143 Then export the mail to .pst format that can be opened in outlook.

Why not just setup another Workstation with that users mailbox on it, I do it all the time. I have a separate PC that i used just to login to users mailbox when asked to my management.