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1) This is probably to do with how your email accounts have been configured and more specifically the setting for whether you want a copy left on your email server or not. If you do NOT leave a copy of your email server then once you have downloaded it using Outlook to your PST file then it will not be available to download onto any other devices. If you DO want to it be available to download onto multiple devices go into your email account settings and click the More Settings button then select the Advanced tab. Tick the box for Leave a copy of messages on the server.

2) You should be able to identify where the other PST files are located using the File menu and then select Data File Management.