Your question is a little confusing. When you use the Contacts icon under Tools-Manage My Data in Mobile PC, it queries Outlook for your list of contacts. For each contact you can have Mobile PC assign a location based on the address of that contact. If you are setting up Favourites instead, they are internal to Mobile PC only.
Outlook files have a PST extension whether you use Mobile PC or not. The Mobile PC information about a particular contact is stored with that contact in Outlook. I have Outlook 2003 and the information appears on the 'All Fields' tab under 'GarminLocation'.
I can't say for sure if Mobile PC would see that information if loaded onto a new computer with an existing copy of Outlook containing that same PST file but I would think it should.
In simple terms, just back up your Outlook PST file to save your contact information. Locate and save the current.gpx file if you use Favourites
Terry