On Windows 2000/XP, the History folder is located inside "Local Settings" folder of your user profile. For Example: C:\Documents and Settings\Administrator\Local Settings\History. The "Local Settings" folder is hidden by default, so you won't see this folder unless your system is configured to display hidden files and folders.

Viewing Older History Information
In some circumstances, Internet Explorer saves some older history information in subfolders located under the main history folder. Starting from version 1.20, you can view the history information stored in these subfolders by using the 'Select History Subfolder' option in the File menu.