I'm wondering if you've opened the wrong user address book. If you open your Address Book, and then go to Help/About Address Book you will be able to see the file path of the file that is open.

It should be something like mine, with the exception of the user name being yours instead:

C:\Documents and Settings\Dave\Application Data\Microsoft\Address Book\Dave.wab

Notice that the address book I open has been renamed to 'Dave.wab' which has made it simpler for me in the past to backup the file and transfer it to another PC, replacing the existing file that OE uses (Address.wab).