Outlook 2003 and 2007 always create a new PST file once you install and
configure them for an Internet Mail Account. Only Outlook 2010 will provide
an option to choose an existing PST file before it creates another.
If you already configured a profile with an account, you will have a new PST
file which, of course, you don't need. Just open the PST file you'd rather
use, set it as your default, restart Outlook, and then you can close the new
PST file you never needed in the first place.
Outlook always thinks it knows better than you do. Sadly, it never does.