In Outlook, click on the Tools menu and select Account Settings.
Click on the Data Files tab.
You will see your data files listed in the main box. For an OST file (used with Exchange connections), follow these steps:

1. Double click on data file listing.
2. Click on the Advanced tab.
3. Click on Offline Folder File Settings.
4. Click on Compact Now.

For a PST file (used for POP and IMAP connections), use these steps:

1. Double click on the data file.
2. Click Compact Now.

The compact process may take a few minutes. Note that this will probably only have an affect on your loading speed if the files are really big. In that case, you may also want to consider archiving older data that is not accessed very often to another file, which you can then only open when you really need it.

Hope this helps.

-SW